Laura Reh
Datos Biográficos
| ID | 8920700 |
|---|---|
| NOMBRE | Laura Reh |
| NOMBRES | Laura |
| APELLIDO | Reh |
| FIRMA | REH L |
| AFILIACIONES | University of Cologne |
| ORCID | 0000-0002-8083-0535 |
| VERIFICADO | Sí |
| TOTAL DE OBRAS | 1 |
| TOTAL DE CITAS | 0 |
| OBRAS COMO AUTOR | 1 |
| OBRAS COMO EDITOR | 0 |
| PRIMER AÑO DE PUBLICACIÓN | 2023 |
| AÑO MÁS RECIENTE DE PUBLICACIÓN | 2023 |
| ÍNDICE H | 0 |
Predicting the Global Minimum Variance Portfolio
We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP) for the conditional covariance matrix of asset returns. The GMVP weights are the population coefficients of a linear regression of a benchmark return on a vector of return differences. This representation enables us to derive a consistent loss function from which we can infer the GMVP weights without imposing any distributional assumptions …
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Predicting the Global Minimum Variance Portfolio
We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP) for the conditional covariance matrix of asset returns. The GMVP weights are the population coefficients of a linear regression of a benchmark return on a vector of return differences. This representation enables us to derive a consistent loss function from which we can infer the GMVP weights without imposing any distributional assumptions …
Autoregressive conditional heteroskedasticity (1 obra) · Autoregressive model (1 obra) · Complex Systems and Time Series Analysis (1 obra) · Conditional expectation (1 obra) · Conditional variance (1 obra) · Covariance matrix (1 obra) · Econometrics (1 obra) · Economics (1 obra) · Finance (1 obra) · Financial Markets and Investment Strategies (1 obra)