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The Impact of Covariance Misspecification in Risk-Based Portfolios · Study

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ArticleThe Impact of Covariance Misspecification in Risk-Based Portfolios

David Ardia2015

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Articlebronze2015

The Impact of Covariance Misspecification in Risk-Based Portfolios

David Ardia · Guido Bolliger · Kris Boudt · Jean-Philippe Gagnon-Fleury

56 citations·0/0 files stored·Annals of Operations Research

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

2002Dynamic Conditional Correlation 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH 2010The Properties of Equally Weighted Risk Contribution Portfolios 1999On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model 2008Toward Maximum Diversification 1999On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model 2012Demystifying Equity Risk–Based Strategies: A Simple Alpha plus Beta Description

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2015A Test of Covariance-Matrix Forecasting Methodsarticle · 6 shared references 2019Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecificationarticle · 5 shared references 2020Diversification and portfolio theory: a reviewreview · 4 shared references 2010On the estimation of dynamic conditional correlation modelsarticle · 4 shared references 2013Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?article · 4 shared references 2009Jackknife Estimator for Tracking Error Variance of Optimal Portfoliosarticle · 4 shared references

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Year2015

Typearticle

Published2015-01-01

VenueAnnals of Operations Research

ISSN-L0254-5330

Languageen

Citations56

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10479-017-2474-7

openalex_workW3124698695

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