Predicting the Global Minimum Variance Portfolio (Q6149858)
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scientific article; zbMATH DE number 7813294
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Predicting the Global Minimum Variance Portfolio |
scientific article; zbMATH DE number 7813294 |
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Predicting the Global Minimum Variance Portfolio (English)
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5 March 2024
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consistent loss function
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elicitability
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forecasting
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generalized autoregressive score
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recursive least squares
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shrinkage
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