On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model
收藏NBER1999-03-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w7039
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资源简介：
We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few
提供机构：
美国国家经济研究局
创建时间：
1999-03-01
