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dc.contributor.authorMostowfi, Mehdi-
dc.contributor.authorStier, Caroline-
dc.date.accessioned2018-08-15T13:28:21Z-
dc.date.available2018-08-15T13:28:21Z-
dc.date.issued2013-
dc.identifier.issn0095-4918de_CH
dc.identifier.issn2168-8656de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/9036-
dc.description.abstractThis article compares the performance of minimum-variance portfolios based on four different covariance matrix estimators, using daily return data from the German stock market. To assess whether investing in ex ante minimum-variance portfolios is a recommendable way to achieve efficient portfolios in accordance with Markowitz’s mean-variance optimization, the authors benchmark the four portfolios’ performance against the German stock index DAX, which also determines the investable universe. This is the first study that uses not only historical volatility and covariance data, but also implied volatilities from the stock options market to estimate the covariance matrix. The article also analyzes how results change when the shrinkage method, suggested by Ledoit and Wolf in a 2003 article published in this journal, is applied to both the historical and the implied volatility estimators. The authors demonstrate that all minimum-variance portfolios outperform the DAX index. The implied-volatility estimator, modified by the shrinkage method, offered the best results in terms of volatility, return, and efficiency ratio. In contrast to previous empirical results, applying the shrinkage method to the historical sample covariance matrix yields little benefit, if any. However, applying the shrinkage method to the implied-volatility estimator significantly improves the quality of the covariance estimation, resulting in improved performance from the minimum-variance portfolio.de_CH
dc.language.isoende_CH
dc.publisherInstitutional Investorde_CH
dc.relation.ispartofThe Journal of Portfolio Managementde_CH
dc.rightsLicence according to publishing contractde_CH
dc.subject.ddc332.6: Investitionde_CH
dc.titleMinimum-variance portfolios based on covariance matrices using implied volatilities : evidence from the German marketde_CH
dc.typeBeitrag in wissenschaftlicher Zeitschriftde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Management and Lawde_CH
zhaw.organisationalunitInstitut für Wealth & Asset Management (IWA)de_CH
dc.identifier.doi10.3905/jpm.2013.39.3.084de_CH
zhaw.funding.euNode_CH
zhaw.issue3de_CH
zhaw.originated.zhawYesde_CH
zhaw.pages.end92de_CH
zhaw.pages.start84de_CH
zhaw.publication.statuspublishedVersionde_CH
zhaw.volume39de_CH
zhaw.publication.reviewPeer review (Publikation)de_CH
Appears in Collections:Publikationen School of Management and Law

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