A Abbreviations
| Full name | Abbrevation |
|---|---|
| Mean-variance optimal | MVO |
| Global minimum variance | GMV |
| Equal weight | EW |
| Equal risk contribution | ERC |
| Market weight | MW |
| Maximum Sharpe ratio | MSR |
| Full name | Abbrevation |
|---|---|
| Marginal risk contribution | MRC |
| Total risk contribution | TRC |
| Inverse Herfindahl index | IHI |
| Risk-weights | RS |
| Marginal risk-weights | MRW |
| Total risk-weights | TRW |
| Sharpe ratio | SR |
| Squared Mahalanobis distance | SMD |
| Mean square error | MSE |
| Turnover rate | TO |
| Maximum drawdown | MDD |
| Full name | Abbrevation |
|---|---|
| Sample covariance matrix | SCM |
| Regime switching | RS |
| Quantile factor modelling | QFM |
| Quantile factor modelling with regime switching | QRS |
| Ridge regression | RR |
| Subset re-sampling | SRS |