Covariance Prediction in Large Portfolio Allocation: Supplementary Material
11 Pages Posted: 11 Jun 2019
Date Written: May 25, 2019
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