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Modeling and Forecasting Realized Portfolio Weights · Study

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ArticleModeling and Forecasting Realized Portfolio Weights

Vasyl Golosnoy2020

OA

Articlegreen2020

Modeling and Forecasting Realized Portfolio Weights

Vasyl Golosnoy · Bastian Gribisch

20 citations·0/0 files stored·Journal of Banking & Finance

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

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References

2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 1980On estimating the expected return on the market 2008A Simple Approximate Long-Memory Model of Realized Volatility n.d.Multivariate GARCH models: a survey 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms 1991On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

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Year2020

Typearticle

Published2020-01-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations20

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbankfin.2022.106404

openalex_workW4206469445

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