Reactive Global Minimum Variance Portfolios with k-BAHC covariance cleaning
From MaRDI portal
(Redirected from Publication:134575)
Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning
Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning
Abstract: We introduce a -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 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.
This page was built for publication: Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q134575)
