Reactive Global Minimum Variance Portfolios with k-BAHC covariance cleaning

DOI10.48550/ARXIV.2005.08703arXiv2005.08703MaRDI QIDQ134575FDOQ134575

Authors: Christian Bongiorno, Damien Challet 

Publication date: 18 May 2020

Abstract: We introduce a $k$-fold boosted version of our Boostrapped Average Hierarchical Clustering cleaning procedure for correlation and covariance matrices. We then apply this method to global minimum variance portfolios for various values of $k$ and compare their performance with other state-of-the-art methods. Generally, we find that our method yields better Sharpe ratios after transaction costs than competing filtering methods, despite requiring a larger turnover.

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80)

Cited In (1)

• bahc

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