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Isabella Marianne Costa Campos, Denismar Alves Nogueira, Eric Batista Ferreira, Davi Butturi-Gomes
Pág. e44456
In some studies, there is interest in testing the variance structure, as in the context of multivariate or modelling techniques. Therefore, the importance of using hypothesis tests on covariance structures is emphasized. The purpose of this study was to ...
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André Alves Portela Santos,Cristina Tessari
Pág. 369 - 393
In this paper we assess the out-of-sample performance of two alternative quantitative portfolio optimization techniques - mean-variance and minimum variance optimization ? and compare their performance with respect to a naive 1/N (or equally-weighted) po...
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Ledoit, O. Santa-Clara, P. Wolf, M.
Pág. 735 - 747
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Bernardo, Antonio E; Ledoit, Olivier
Pág. 144 - 172
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