Laura Reh
Biographic Data
| ID | 8920700 |
|---|---|
| NAME | Laura Reh |
| GIVEN NAMES | Laura |
| FAMILY NAME | Reh |
| SIGNATURE | REH L |
| AFFILIATIONS | University of Cologne |
| ORCID | 0000-0002-8083-0535 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 1 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2023 |
| LATEST PUBLICATION YEAR | 2023 |
| H-INDEX | 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 …
No prominent works on this page.
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 work) · Autoregressive model (1 work) · Complex Systems and Time Series Analysis (1 work) · Conditional expectation (1 work) · Conditional variance (1 work) · Covariance matrix (1 work) · Econometrics (1 work) · Economics (1 work) · Finance (1 work) · Financial Markets and Investment Strategies (1 work)