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An Empirical Assessment of Alternative Methods of Variance-Covariance Matrix
2020
Journal:  
International Review of Management and Business Research (IRMBR)
Author:  
DOI:  
10.30543/9-4(2020)-33
Abstract:

The current study aims at the estimation of a group of variance-covariance methods using the data set of the non-financial sector of the Pakistan stock exchange. The study compares nine covariance estimators using two assessment criteria of root mean square error and standard deviation of minimum variance portfolios to gauge on accuracy and effectiveness of estimators. The findings of the study based on RMSE and risk behaviour of MVPs suggest that portfolio managers receive no additional benefit for using more sophisticated measures against equally weighted variance-covariance estimators in the construction of portfolios.

Keywords:

null
2020
Journal:  
International Review of Management and Business Research (IRMBR)
Author:  
DOI:  
10.30543/9-4(2020)-33
0
2020
Journal:  
International Review of Management and Business Research (IRMBR)
Author:  
DOI:  
10.30543/9-4(2020)-33
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International Review of Management and Business Research (IRMBR)

Field :   Sosyal, Beşeri ve İdari Bilimler

Journal Type :   Uluslararası

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Article : 927
Cite : 422
Details
International Review of Management and Business Research (IRMBR)