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Keywords: Minimum-variance portfolio selection
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2016) 17 (3): 295–309.
Published: 16 May 2016
... matrices which are used for minimum variance portfolio selection. Finally, the portfolios are evaluated by their out-of-sample performance. Findings The authors find that portfolios which are constructed on variance-covariance matrices stemming from multi-scale factor models outperform portfolio...
