Acceso al sitio web del Consejo de Políticas de Infraestructura

   
Redirigiendo al acceso original de articulo en 15 segundos...
ARTÍCULO
TITULO

Further Exploration Of Global Asset GMVPs: Does Risk Reduction Benefit From Weekly Data?

Arben Zibri    
Agim Kukeli    

Resumen

The paper studies the differences in risk reduction among global minimum variance portfolios (GMVPs) derived from the optimization of weekly and monthly return. This research follows the analysis of Zibri and Kukeli (2014) regarding differences in performance which is measured for different revision frequencies and transaction costs. The data used are weekly/monthly returns for stock, bond, gold, oil indices for the period 1996-2013. If more frequently rebalancing is applied, most restrictive weekly GMVPs reduce risk more than returns vis-vis monthly GMVPs.

PÁGINAS

 Artículos similares

       
 
Umair Bhutta, Jéssica Nunes Martins, Mário Nuno Mata, Ali Raza, Rui Miguel Dantas, Anabela Batista Correia and Muhammad Rafiq    
Accounting conservatism (AC) is one of the components of financial reporting, and has been widely studied by academicians to identify its impact on information quality. Scholars in accounting have started to explore how AC is related to different fundame... ver más

 
Isabel-María García-Sánchez and Emma García-Meca    
We analyze the association between managerial ability in banks and three different typologies of investments that demand significant resources: capital, research and development (R&D), and acquisition expenditures. We also analyze whether managerial ... ver más

 
Stelios Bekiros and Christos Avdoulas    
We examined the dynamic linkages among money market interest rates in the so-called ?BRICS? countries (Brazil, Russia, India, China, and South Africa) by using weekly data of the overnight, one-, three-, and six- months, as well as of one year, Treasury ... ver más
Revista: Forecasting

 
Hao Hu, Shufang Wang and Jin-liao He    
As China?s opening-up grows wider under the Belt and Road Initiative, the exploration and construction of free trade ports have received increasing attention. In 2018, China?s first free trade port was settled in Hainan instead of Shanghai. In 2019, afte... ver más

 
Ebunoluwa Bimbola Akinrata    
Construction industry is one of the main drivers of financial development in numerous countries not leaving out Nigeria. The industry faces a long rundown of ethics/moral difficulties identified with practices from its professionals. So therefore, the su... ver más