An Out-of-sample Analysis of Mean-Variance Portfolios with Orthogonal GARCH Factors
In this paper a comparative study is conducted to evaluate the out-of-sample performance of mean-variance portfolios when three different variance models are considered. We use the common framework of orthogonal factors to specify the conditional covariance matrix structure. A key advantage of th...
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| Format: | Article |
| Language: | English |
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Econometric Research Association
2012-04-01
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| Series: | International Econometric Review |
| Subjects: | |
| Online Access: | http://www.era.org.tr/makaleler/14120057.pdf |