Download This PaperCovariance Prediction in Large Portfolio Allocation: Supplementary Material
11 Pages Posted: 11 Jun 2019
Date Written: May 25, 2019
Abstract
In this supplementary material we discuss the results corresponding to the case without short-selling constraints of the empirical application in the paper of Trucíos et al. (2019). These results are given in Tables 9-16.
Keywords: minimum variance portfolio, risk, shrinkage, S&P 500
JEL Classification: C13, C53, C58, G11
Suggested Citation: Suggested Citation
Trucíos Maza, Carlos César and Zevallos, Mauricio and Hotta, Luiz Koodi and Santos, André, Covariance Prediction in Large Portfolio Allocation: Supplementary Material (May 25, 2019). Available at SSRN: https://ssrn.com/abstract=3394243 or http://dx.doi.org/10.2139/ssrn.3394243
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