Covariance Prediction in Large Portfolio Allocation: Supplementary Material

11 Pages Posted: 11 Jun 2019

See all articles by Carlos Trucíos

Carlos Trucíos

Universidade Federal do Rio de Janeiro (UFRJ) - Faculdade de Administracao e Ciencias Contabeis - FACC

Mauricio Zevallos

Universidade Estadual de Campinas (UNICAMP)

Luiz Koodi Hotta

University of Campinas (UNICAMP) - Department of Statistics

André Santos

Universidade Federal de Santa Catarina (UFSC) - Department of Economics

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

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

Carlos César Trucíos Maza (Contact Author)

Universidade Federal do Rio de Janeiro (UFRJ) - Faculdade de Administracao e Ciencias Contabeis - FACC ( email )

Av. Pasteur 250
Rio de Janeiro, 22290-240
Brazil

HOME PAGE: http://https://ctruciosm.github.io

Mauricio Zevallos

Universidade Estadual de Campinas (UNICAMP) ( email )

Rua Sérgio Buarque de Holanda, 651
Cidade Universitaria, Barao Geraldo
Campinas, Sao Paulo
Brazil

Luiz Koodi Hotta

University of Campinas (UNICAMP) - Department of Statistics ( email )

Campinas, São Paulo 13083-859
Brazil

André Santos

Universidade Federal de Santa Catarina (UFSC) - Department of Economics ( email )

PO Box 476
Florianopolis, SC 88010-970
Brazil

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