Can volatility solve the naive portfolio puzzle?

DOI10.1080/14697688.2023.2249996arXiv2005.03204MaRDI QIDQ6089392

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Publication date: 14 December 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.03204

zbMATH Keywords

volatilitymean-variancenaive portfolio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Sparse Bayesian time-varying covariance estimation in many dimensions
• A well-conditioned estimator for large-dimensional covariance matrices
• Statistical analysis of cointegration vectors
• On the estimation of dynamic conditional correlation models
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• Realized Volatility
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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