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Keywords: Portfolio optimization
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Journal Articles
Journal:
China Finance Review International
China Finance Review International (2019) 9 (3): 338–359.
Published: 16 August 2019
... Licensed re-use rights only Economic value Portfolio optimization CAW model Mean-variance analysis Recently, Golosnoy et al. (2012a) proposed a novel realized covariance model called conditional autoregressive Wishart (CAW) model to describe the high-frequency volatility...
Journal Articles
Journal:
China Finance Review International
China Finance Review International (2018) 8 (4): 453–467.
Published: 28 March 2018
... view confidence parameters, the VECM/VAR-DCC/ADCC preconditioned BL model offers clear advantage over the standard mean-variance method, and provides an automated portfolio optimization alternative to the classic BL approach. Originality/value The VECM/VAR-DCC/ADCC framework and its application...
