Noise sensitivity of portfolio selection in constant conditional correlation GARCH models

Physica A: Statistical Mechanics and its Applications

Volumn 385, Issue 1, 2007, Pages 307-318

  Varga Haszonits, I ^a,c   Kondor, I ^a,b  

^a EÖTVÖS LORÁND UNIVERSITY   (Hungary)

^b INSTITUTE FOR ADVANCED STUDY   (Hungary)

^c Analytics Department of Fixed Income Division   (Hungary)

Author keywords

Constant conditional correlation; Multivariate GARCH models; Noisy covariance matrices; Portfolio optimization

Indexed keywords

COMPUTER SIMULATION; CORRELATION METHODS; MATHEMATICAL MODELS; OPTIMIZATION; SENSITIVITY ANALYSIS;

CONSTANT CONDITIONAL CORRELATION; NOISY COVARIANCE MATRICES; PORTFOLIO OPTIMIZATION; RANDOM MATRIX;

COVARIANCE MATRIX;

EID: 34548488719     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.06.017     Document Type: Article

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