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Exponential Smoothing of Realized Portfolio Weights · Study

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ArticleExponential Smoothing of Realized Portfolio Weights

Vasyl Golosnoy2017

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Articlegreen2017

Exponential Smoothing of Realized Portfolio Weights

Vasyl Golosnoy · Bastian Gribisch · Miriam Isabel Seifert

27 citations·0/0 files stored·Journal of Empirical Finance

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Financial Risk and Volatility Modeling Forecasting Techniques and Applications Risk and Portfolio Optimization

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References

1994Comparing Predictive Accuracy 1995Comparing Predictive Accuracy 1969The Combination of Forecasts 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?1980On estimating the expected return on the market 1997Testing the equality of prediction mean squared errors n.d.Multivariate GARCH models: a survey 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection

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2020Modeling and Forecasting Realized Portfolio Weights 2021Monitoring mean changes in persistent multivariate time series

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Year2017

Typearticle

Published2017-01-01

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations27

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jempfin.2019.07.006

openalex_workW2767022969

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