Using CorrGAN: Comparing Network-Based and Minimum Variance Portfolios
Star★TopPublic Account Love You All♥ Editor: 1+1=6 Introduction Many econophysicists have noted that portfolios constructed using the empirical correlation matrix estimated from stock (or other asset) returns are very similar to those obtained from minimum variance optimization using the empirical covariance estimated for the same stocks. The companies of the minimum risk Markowitz portfolio [MVP] … Read more