{"id":"https://openalex.org/W2944448043","doi":"https://doi.org/10.3390/econometrics7020019","title":"Covariance Prediction in Large Portfolio Allocation","display_name":"Covariance Prediction in Large Portfolio Allocation","publication_year":2019,"publication_date":"2019-05-09","ids":{"openalex":"https://openalex.org/W2944448043","doi":"https://doi.org/10.3390/econometrics7020019","mag":"2944448043"},"language":"en","primary_location":{"id":"doi:10.3390/econometrics7020019","doi":"https://doi.org/10.3390/econometrics7020019","is_oa":true,"landing_page_url":"http://dx.doi.org/10.3390/econometrics7020019","pdf_url":null,"source":{"id":"https://openalex.org/S2737431740","display_name":"Econometrics","issn_l":"2225-1146","issn":["2225-1146"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","doaj","norway-1","poland-70","russia-white-list-2"],"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Econometrics","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"http://dx.doi.org/10.3390/econometrics7020019","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5075865136","display_name":"Carlos Truc\u00edos","orcid":"https://orcid.org/0000-0001-8746-8877","observed_orcids":["https://orcid.org/0000-0001-8746-8877"]},"institutions":[{"id":"https://openalex.org/I4403928399","display_name":"Escola de Economia de S\u00e3o Paulo","ror":"https://ror.org/054hyrm55","country_code":"BR","type":"education","lineage":["https://openalex.org/I4403928399","https://openalex.org/I44202434"]}],"countries":["BR"],"is_corresponding":true,"raw_author_name":"Carlos Truc\u00edos","raw_affiliation_strings":["S\u00e3o Paulo School of Economics, FGV, S\u00e3o Paulo 01332-000, Brazil"],"raw_orcid":"https://orcid.org/0000-0001-8746-8877","affiliations":[{"raw_affiliation_string":"S\u00e3o Paulo School of Economics, FGV, S\u00e3o Paulo 01332-000, Brazil","institution_ids":["https://openalex.org/I4403928399"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5066465319","display_name":"Mauricio Zevallos","orcid":"https://orcid.org/0000-0001-9911-7249","observed_orcids":["https://orcid.org/0000-0001-9911-7249"]},"institutions":[{"id":"https://openalex.org/I181391015","display_name":"Universidade Estadual de Campinas (UNICAMP)","ror":"https://ror.org/04wffgt70","country_code":"BR","type":"education","lineage":["https://openalex.org/I181391015"]}],"countries":["BR"],"is_corresponding":false,"raw_author_name":"Mauricio Zevallos","raw_affiliation_strings":["Department of Statistics, University of Campinas, Campinas 13083-859, Brazil"],"raw_orcid":"https://orcid.org/0000-0001-9911-7249","affiliations":[{"raw_affiliation_string":"Department of Statistics, University of Campinas, Campinas 13083-859, Brazil","institution_ids":["https://openalex.org/I181391015"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5074131992","display_name":"Luiz Koodi Hotta","orcid":"https://orcid.org/0000-0002-1005-602X","observed_orcids":["https://orcid.org/0000-0002-1005-602X"]},"institutions":[{"id":"https://openalex.org/I181391015","display_name":"Universidade Estadual de Campinas (UNICAMP)","ror":"https://ror.org/04wffgt70","country_code":"BR","type":"education","lineage":["https://openalex.org/I181391015"]}],"countries":["BR"],"is_corresponding":false,"raw_author_name":"Luiz K. Hotta","raw_affiliation_strings":["Department of Statistics, University of Campinas, Campinas 13083-859, Brazil"],"raw_orcid":"https://orcid.org/0000-0002-1005-602X","affiliations":[{"raw_affiliation_string":"Department of Statistics, University of Campinas, Campinas 13083-859, Brazil","institution_ids":["https://openalex.org/I181391015"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5010508989","display_name":"Andr\u00e9 Alves Portela Santos","orcid":"https://orcid.org/0000-0001-6134-8930","observed_orcids":["https://orcid.org/0000-0001-6134-8930"]},"institutions":[{"id":"https://openalex.org/I4104125","display_name":"Universidade Federal de Santa Catarina","ror":"https://ror.org/041akq887","country_code":"BR","type":"education","lineage":["https://openalex.org/I4104125"]},{"id":"https://openalex.org/I50357001","display_name":"Universidad Carlos III de Madrid","ror":"https://ror.org/03ths8210","country_code":"ES","type":"education","lineage":["https://openalex.org/I50357001"]}],"countries":["BR","ES"],"is_corresponding":false,"raw_author_name":"Andr\u00e9 A. P. Santos","raw_affiliation_strings":["Department of Economics, Universidade Federal de Santa Catarina, Florian\u00f3polis 88040-970, Brazil","UC3M-Santander Big Data Institute, Universidad Carlos III de Madrid, Getafe 28903, Spain"],"raw_orcid":"https://orcid.org/0000-0001-6134-8930","affiliations":[{"raw_affiliation_string":"Department of Economics, Universidade Federal de Santa Catarina, Florian\u00f3polis 88040-970, Brazil","institution_ids":["https://openalex.org/I4104125"]},{"raw_affiliation_string":"UC3M-Santander Big Data Institute, Universidad Carlos III de Madrid, Getafe 28903, Spain","institution_ids":["https://openalex.org/I50357001"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5075865136"],"corresponding_institution_ids":["https://openalex.org/I4403928399"],"apc_list":{"value":1000,"currency":"CHF","value_usd":1013},"apc_paid":{"value":1000,"currency":"CHF","value_usd":1013},"fwci":2.1512,"has_fulltext":true,"cited_by_count":15,"citation_normalized_percentile":{"value":0.87817169,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"7","issue":"2","first_page":"19","last_page":"19"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9839000105857849,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9839000105857849,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.009100000374019146,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.002099999925121665,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/covariance-forecasting","display_name":"covariance forecasting","score":0.875},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"asset allocation","score":0.8080000281333923},{"id":"https://openalex.org/keywords/minimum-variance-portfolio","display_name":"minimum variance portfolio","score":0.8640000224113464},{"id":"https://openalex.org/keywords/out-of-sample-portfolio-performance","display_name":"out-of-sample portfolio performance","score":0.8840000033378601},{"id":"https://openalex.org/keywords/s-p-500-stocks","display_name":"S&P 500 stocks","score":0.9020000100135803},{"id":"https://openalex.org/keywords/forecast-evaluation","display_name":"forecast evaluation","score":0.3269999921321869},{"id":"https://openalex.org/keywords/rebalancing-strategy","display_name":"rebalancing strategy","score":0.6729999780654907}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6754703521728516},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6228131651878357},{"id":"https://openalex.org/C103659442","wikidata":"https://www.wikidata.org/wiki/Q1662488","display_name":"Information ratio","level":4,"score":0.5372194647789001},{"id":"https://openalex.org/C21430997","wikidata":"https://www.wikidata.org/wiki/Q5159279","display_name":"Conditional variance","level":4,"score":0.5316073894500732},{"id":"https://openalex.org/C22679943","wikidata":"https://www.wikidata.org/wiki/Q159375","display_name":"Standard deviation","level":2,"score":0.4999406337738037},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.495508074760437},{"id":"https://openalex.org/C178650346","wikidata":"https://www.wikidata.org/wiki/Q201984","display_name":"Covariance","level":2,"score":0.4828405976295471},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.45049890875816345},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.44698289036750793},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.44043731689453125},{"id":"https://openalex.org/C185142706","wikidata":"https://www.wikidata.org/wiki/Q1134404","display_name":"Covariance matrix","level":2,"score":0.4326602518558502},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.43106114864349365},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.42350298166275024},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.41761332750320435},{"id":"https://openalex.org/C104946779","wikidata":"https://www.wikidata.org/wiki/Q7295542","display_name":"Rate of return on a portfolio","level":4,"score":0.41390323638916016},{"id":"https://openalex.org/C139938925","wikidata":"https://www.wikidata.org/wiki/Q1501898","display_name":"Sharpe ratio","level":3,"score":0.35520678758621216},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3165212869644165},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.2282772958278656},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1896081268787384},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C15952604","wikidata":"https://www.wikidata.org/wiki/Q179012","display_name":"Project management","level":2,"score":0.0}],"mesh":[],"locations_count":6,"locations":[{"id":"doi:10.3390/econometrics7020019","doi":"https://doi.org/10.3390/econometrics7020019","is_oa":true,"landing_page_url":"http://dx.doi.org/10.3390/econometrics7020019","pdf_url":null,"source":{"id":"https://openalex.org/S2737431740","display_name":"Econometrics","issn_l":"2225-1146","issn":["2225-1146"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","doaj","norway-1","poland-70","russia-white-list-2"],"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Econometrics","raw_type":"journal-article"},{"id":"pmh:oai:americanae.aecid.es:2842552","doi":null,"is_oa":true,"landing_page_url":"https://www.mdpi.com/2225-1146/7/2/19","pdf_url":"https://www.mdpi.com/2225-1146/7/2/19/pdf?version=1560249151","source":{"id":"https://openalex.org/S4306400786","display_name":"Americanae (AECID Library)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"WOS","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:RePEc:gam:jecnmx:v:7:y:2019:i:2:p:19-:d:229754","doi":null,"is_oa":false,"landing_page_url":"https://www.mdpi.com/2225-1146/7/2/19/","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:doaj.org/article:076d14c9d24f45af9d5cba7d5a032afa","doi":null,"is_oa":true,"landing_page_url":"https://doaj.org/article/076d14c9d24f45af9d5cba7d5a032afa","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Econometrics, Vol 7, Iss 2, p 19 (2019)","raw_type":"article"},{"id":"pmh:oai:econstor.eu:10419/247519","doi":null,"is_oa":true,"landing_page_url":"http://hdl.handle.net/10419/247519","pdf_url":null,"source":{"id":"https://openalex.org/S4306401696","display_name":"Econstor (Econstor)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"doc-type:article"},{"id":"pmh:oai:pure.ed.ac.uk:openaire/4bd45432-18d1-4b30-a24e-da57c3d87191","doi":null,"is_oa":true,"landing_page_url":"https://www.research.ed.ac.uk/files/213273203/TruciosEtalE20219CovariancePrediction.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306400321","display_name":"Edinburgh Research Explorer (University of Edinburgh)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I98677209","host_organization_name":"University of Edinburgh","host_organization_lineage":["https://openalex.org/I98677209"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Truc\u00edos, C, Zevallos, M, Hotta, L K & Santos, A A P 2019, 'Covariance prediction in large portfolio allocation', Econometrics, vol. 7, no. 2, 19. https://doi.org/10.3390/econometrics7020019","raw_type":"info:eu-repo/semantics/publishedVersion"}],"best_oa_location":{"id":"doi:10.3390/econometrics7020019","doi":"https://doi.org/10.3390/econometrics7020019","is_oa":true,"landing_page_url":"http://dx.doi.org/10.3390/econometrics7020019","pdf_url":null,"source":{"id":"https://openalex.org/S2737431740","display_name":"Econometrics","issn_l":"2225-1146","issn":["2225-1146"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","doaj","norway-1","poland-70","russia-white-list-2"],"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Econometrics","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G1004146750","display_name":"Time series, wavelets and functional data analysis","funder_award_id":"13/00506-1","funder_id":"https://openalex.org/F4320320997","funder_display_name":"Funda\u00e7\u00e3o de Amparo \u00e0 Pesquisa do Estado de S\u00e3o Paulo"},{"id":"https://openalex.org/G1212682597","display_name":null,"funder_award_id":"303688/2016-5","funder_id":"https://openalex.org/F4320322025","funder_display_name":"Conselho Nacional de Desenvolvimento Cient\u00edfico e Tecnol\u00f3gico"},{"id":"https://openalex.org/G1608546174","display_name":null,"funder_award_id":"2013-00506-1","funder_id":"https://openalex.org/F4320320997","funder_display_name":"Funda\u00e7\u00e3o de Amparo \u00e0 Pesquisa do Estado de S\u00e3o Paulo"},{"id":"https://openalex.org/G3402108183","display_name":null,"funder_award_id":"2016/18599-4","funder_id":"https://openalex.org/F4320320997","funder_display_name":"Funda\u00e7\u00e3o de Amparo \u00e0 Pesquisa do Estado de S\u00e3o Paulo"},{"id":"https://openalex.org/G689012110","display_name":null,"funder_award_id":"313035/2017-2","funder_id":"https://openalex.org/F4320322025","funder_display_name":"Conselho Nacional de Desenvolvimento Cient\u00edfico e Tecnol\u00f3gico"},{"id":"https://openalex.org/G7305531012","display_name":"Time series, wavelets and high dimensional data","funder_award_id":"18/04654-9","funder_id":"https://openalex.org/F4320320997","funder_display_name":"Funda\u00e7\u00e3o de Amparo \u00e0 Pesquisa do Estado de S\u00e3o Paulo"},{"id":"https://openalex.org/G8215369371","display_name":null,"funder_award_id":"2018/03012-3","funder_id":"https://openalex.org/F4320320997","funder_display_name":"Funda\u00e7\u00e3o de Amparo \u00e0 Pesquisa do Estado de S\u00e3o Paulo"}],"funders":[{"id":"https://openalex.org/F4320320997","display_name":"Funda\u00e7\u00e3o de Amparo \u00e0 Pesquisa do Estado de S\u00e3o Paulo","ror":"https://ror.org/02ddkpn78"},{"id":"https://openalex.org/F4320322025","display_name":"Conselho Nacional de Desenvolvimento Cient\u00edfico e Tecnol\u00f3gico","ror":"https://ror.org/03swz6y49"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2944448043.pdf","grobid_xml":"https://content.openalex.org/works/W2944448043.grobid-xml"},"referenced_works_count":49,"referenced_works":["https://openalex.org/W1585397833","https://openalex.org/W1593060747","https://openalex.org/W1593748280","https://openalex.org/W1727659491","https://openalex.org/W1969524153","https://openalex.org/W1984047258","https://openalex.org/W2000432226","https://openalex.org/W2014755147","https://openalex.org/W2039411708","https://openalex.org/W2043212884","https://openalex.org/W2051005826","https://openalex.org/W2051104076","https://openalex.org/W2058398795","https://openalex.org/W2061160212","https://openalex.org/W2062125287","https://openalex.org/W2063593194","https://openalex.org/W2077171408","https://openalex.org/W2078985570","https://openalex.org/W2081385276","https://openalex.org/W2084850848","https://openalex.org/W2091536878","https://openalex.org/W2095757647","https://openalex.org/W2136321181","https://openalex.org/W2152701363","https://openalex.org/W2153947535","https://openalex.org/W2159325249","https://openalex.org/W2163969674","https://openalex.org/W2271406867","https://openalex.org/W2482896810","https://openalex.org/W2515903151","https://openalex.org/W2519278372","https://openalex.org/W2594400221","https://openalex.org/W2757184984","https://openalex.org/W2770149685","https://openalex.org/W2801995467","https://openalex.org/W2891118671","https://openalex.org/W2950381474","https://openalex.org/W3021649803","https://openalex.org/W3121850481","https://openalex.org/W3123247324","https://openalex.org/W3123338834","https://openalex.org/W3124020741","https://openalex.org/W3124027709","https://openalex.org/W3124753439","https://openalex.org/W3125366755","https://openalex.org/W4236643107","https://openalex.org/W4250628534","https://openalex.org/W4253163276","https://openalex.org/W6602673301"],"related_works":["https://openalex.org/W4402520296","https://openalex.org/W1599071820","https://openalex.org/W2085605523","https://openalex.org/W4388879303","https://openalex.org/W2954578386","https://openalex.org/W4415180520","https://openalex.org/W3122655620","https://openalex.org/W2570064100","https://openalex.org/W7019295182","https://openalex.org/W1574649194"],"abstract_inverted_index":{"Many":[0],"financial":[1,26],"decisions,":[2],"such":[3],"as":[4,47],"portfolio":[5],"allocation,":[6],"risk":[7],"management,":[8],"option":[9],"pricing":[10],"and":[11,23,67,85,99,110],"hedge":[12],"strategies,":[13],"are":[14,45],"based":[15,55],"on":[16,56,103],"forecasts":[17],"of":[18,25,34,108],"the":[19,60,94,100,104,106,111],"conditional":[20,40],"variances,":[21],"covariances":[22],"correlations":[24],"returns.":[27],"The":[28,69],"paper":[29],"shows":[30],"an":[31],"empirical":[32],"comparison":[33],"several":[35,74],"methods":[36],"to":[37,49,59,65],"predict":[38],"one-step-ahead":[39],"covariance":[41],"matrices.":[42],"These":[43],"matrices":[44],"used":[46],"inputs":[48],"obtain":[50],"out-of-sample":[51],"minimum":[52],"variance":[53],"portfolios":[54],"stocks":[57],"belonging":[58],"S&P500":[61],"index":[62],"from":[63],"2000":[64],"2017":[66],"sub-periods.":[68],"analysis":[70,109],"is":[71,93],"done":[72],"through":[73],"metrics,":[75],"including":[76],"standard":[77],"deviation,":[78],"turnover,":[79],"net":[80],"average":[81],"return,":[82],"information":[83],"ratio":[84],"Sortino\u2019s":[86],"ratio.":[87],"We":[88],"find":[89],"that":[90],"no":[91],"method":[92],"best":[95],"in":[96],"all":[97],"scenarios":[98],"performance":[101],"depends":[102],"criterion,":[105],"period":[107],"rebalancing":[112],"strategy.":[113]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":2}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2019-05-16T00:00:00"}