Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning
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DOI: 10.1080/1351847X.2021.1963301
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Other versions of this item:
- Christian Bongiorno & Damien Challet, 2022. "Reactive global minimum variance portfolios with k-BAHC covariance cleaning," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1344-1360, October.
- Christian Bongiorno & Damien Challet, 2020. "Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning," Papers 2005.08703, arXiv.org, revised Mar 2023.
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Cited by:
- Bongiorno, Christian & Challet, Damien, 2023.
"Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization,"
Finance Research Letters, Elsevier, vol. 52(C).
- Christian Bongiorno & Damien Challet, 2021. "Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimisation," Papers 2112.07521, arXiv.org, revised Oct 2022.
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