Universität zu Köln

Golosnoy, Vasyl, Gribisch, Bastian and Seifert, Miriam Isabel . Sample and realized minimum variance portfolios: Estimation, statistical inference, and tests. Wiley Interdiscip. Rev.-Comput. Stat.. HOBOKEN: WILEY. ISSN 1939-0068

Full text not available from this repository.

Abstract

The global minimum variance portfolio (GMVP) is the starting point of the Markowitz mean-variance efficient frontier. The estimation of the GMVP weights is therefore of much importance for financial investors. The GMVP weights depend only on the inverse covariance matrix of returns on financial risky assets, for this reason the estimated GMVP weights are subject to substantial estimation risk, especially in high-dimensional portfolio settings. In this paper we review the recent literature on traditional sample estimators for the unconditional GMVP weights which are typically based on daily asset returns, as well as on modern realized estimators for the conditional GMVP weights based on intraday high-frequency returns. We present various types of GMVP estimators with the corresponding stochastic results, discuss statistical tests and point on some directions for further research. Our empirical application illustrates selected properties of realized GMVP weights. This article is categorized under: Statistical and Graphical Methods of Data Analysis > Multivariate Analysis Statistical and Graphical Methods of Data Analysis > Analysis of High Dimensional Data Statistical Models > Multivariate Models

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Golosnoy, Vasyl UNSPECIFIED UNSPECIFIED UNSPECIFIED Gribisch, Bastian UNSPECIFIED UNSPECIFIED UNSPECIFIED Seifert, Miriam Isabel UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-573539
DOI:	10.1002/wics.1556
Journal or Publication Title:	Wiley Interdiscip. Rev.-Comput. Stat.
Publisher:	WILEY
Place of Publication:	HOBOKEN
ISSN:	1939-0068
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language COVARIANCE-MATRIX ESTIMATION; SHRINKAGE ESTIMATION; NAIVE DIVERSIFICATION; ECONOMETRIC-ANALYSIS; RISK; MARKOWITZ; MARKET; MODEL; UNCERTAINTY; WEIGHTS Multiple languages Statistics & Probability Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/57353