quick Service

A Study on the Optimal Portfolio CovarianceEstimation of the National

 Pension

Young Min Choi

Associate Research Fellow, NPRI

Ⅰ. Introduction

Ⅱ. Mean-Variance Analysis and Asset Allocation

Ⅲ. Previous Studies

Ⅳ. Conditional Covariance Estimation

Ⅴ. Empirical Tests

Ⅵ. Robustness

Ⅶ. Long-term Stability

Ⅷ. Conclusions and Implications

• Attach
• A Study on the Optimal Portfolio CovarianceEstimation of the National Pension (Young Min Choi).pdf