no code implementations • 28 Dec 2022 • Wolfgang Karl Härdle, Yegor Klochkov, Alla Petukhina, Nikita Zhivotovskiy
Markowitz mean-variance portfolios with sample mean and covariance as input parameters feature numerous issues in practice.
no code implementations • 9 Sep 2020 • Alla Petukhina, Simon Trimborn, Wolfgang Karl Härdle, Hermann Elendner
Despite striking price volatility, their high average returns have drawn attention to CCs as alternative investment assets for portfolio and risk management.