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book 1
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Table 1.1 Properties of risk based portfoliosTable 2.1 Performance of NIFTY index over various subperiods
Table 2.2 Descriptive statistics for the full period - 1 January 2001 to 30 June 2014Table 2.3 Descriptive statistics for subperiods
Table 2.4 Performance Comparison for full period - 1 January 2001 to 30 June 2014Table 2.5 Performance Comparison for subperiods
Table 2.6: Modified ratios for subperiods with negative excess returnsTable 2.7 Relative performance with respect to the VW benchmark
Table 2.8 Downside risk comparisonTable 2.9: Precision of the covariance matrix forecast
Table 3.1 Descriptive statisticsTable 3.2 Performance of risk-based portfolio strategies with different covariance matrix estimators
Table 3.3 Performance of risk-based portfolio strategies in different market conditionsTable 3.4 The effect of the choice of decay rate on portfolio performanceTable 4.1 Regression of future returns with the diversification measures
Table 4.2 Regression of future standard deviations with the diversification measuresTable 4.3 Regression of future Sharpe ratios with the diversification measures
Table 4.4 Annualized Sharpe ratios of diversification decile portfoliosTable 4.5 Economic value of diversification
List of FiguresFigure 2.1 Optimal shrinkage intensity
Figure 2.2 Capture ratio plotFigure 4.1 Average cumulative percentage of variance explained by sorted eigenvalues
1525 2633 3435 3636 3737 3938 4039 4041 4244 4560 6362 6565 6867 7088 9290 9491 9593 9796 100
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