Improving Risk Forecasts for Optimized Portfolios
作者： Jose Menchero , Jun Wang , D.J. Orr
DOI: 10.2469/FAJ.V68.N3.5
关键词:
摘要: Sample covariance matrices tend to underestimate the risk of optimized portfolios. In this article, we identify special portfolios, termed “eigenportfolios,” that capture these systematic biases. Further, present a methodology for estimating eigenportfolio biases and adjusting matrix remove We show procedure effectively removes demonstrate adjusted are effective at reducing out-of-sample volatilities
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