Dynamic Minimum Variance Portfolio Models
A new dynamic minimum variance portfolio model is presented, using nonlinear volatility dynamic models and the least absolute shrinkage and selection operator for parameter estimation.
Featured in No. 23 on 25 Oct 2023 · 5 days after release
- Released
- 20 Oct 2023
- First featured
- No. 23 · 25 Oct 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4608270
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).