연구동향 분석

공분산 추정방법에 따른 최적자산배분 성과 분석

이순희(Soonhee Lee) 2014년

논문상세정보
인용/피인용
' 공분산 추정방법에 따른 최적자산배분 성과 분석' 의 주제별 논문영향력
논문영향력 선정 방법
논문영향력 요약
주제
  • 경영관리
  • correlation
  • covarianceestimation
  • globalminimumvarianceportfolio
  • historicalcovariance
  • impliedvolatility
동일주제 총논문수 논문피인용 총횟수 주제별 논문영향력의 평균
9,775 0

0.0%

' 공분산 추정방법에 따른 최적자산배분 성과 분석' 의 참고문헌

  • 모수 추정치의 오차가 포트폴리오 최적성에 미치는 효과에 관한 연구
    이창수 금융공학연구 1 : 1 ~ 13 [2002]
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    Green, R.C Journal of Finance 47 (5) : 1785 ~ 1809 [1992]
  • The relation between implied and realized volatility
    Christensen, B.J. Journal of Financial Economics 50 (2) : 125 ~ 150 [1998]
  • The model-free implied volatility and its information content
    Jiang, G.J. Review of Financial Studies 18 (4) : 1305 ~ 1342 [2005]
  • The effect of errors in means, variances, and covariances on optimal portfolio choice
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  • Risk reduction in large portfolios : why imposing the wrong constraints helps
    Jagannathan, R Journal of Finance 58 (4) : 1651 ~ 1684 [2003]
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    DeMiguel, V Review of Financial Studies 22 (5) : 1915 ~ 1953 [2009]
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    Kostakis, A. Management Science 57 (7) : 1231 ~ 1249 [2011]
  • Improving portfolio selection using option-implied volatility and skewness
    DeMiguel, V Journal of Financial and Quantitative Analysis 48 (6) : 1813 ~ 1845 [2013]
  • Improved Estimates of Correlation Coefficients and their Impact on Optimum Portfolios
    Elton, E.J European Financial Management 12 (3) : 303 ~ 318 [2006]
  • Implied correlation index : A new measure of diversification
    Skintzi, V.D Journal of Futures Markets 25 (2) : 171 ~ 197 [2005]
  • Idiosyncratic risk and the cross-section of expected stock returns
    Fu, F. Journal of financial Economics 91 (1) : 24 ~ 37 [2009]
  • Honey, I shrunk the sample covariance matrix
    Ledoit, O Journal of Portfolio Management 30 (4) : 110 ~ 119 [2004]
  • Generalized approach to portfolio optimization : Improving performance by constraining portfolio norms
    DeMiguel, V Management Science 55 (5) : 798 ~ 812 [2009]