Fig. 3.

Time-varying covariances & portfolio construction. This figure illustrates the three processes associated with portfolio rebalancing in accordance with their frequency: daily, weekly, or monthly. For all cases, our initial training and statistical calibration period is from January 3, 2019, to December 31, 2019, which is designed to ensure consistency and precise estimates for our different GARCH and copula specifications. The rebalancing approaches are driven over the period that spans from January 02, 2020,to December 31, 2021. The upper panel shows the daily rebalancing frequency (blue color) with 503 daily minimum variance optimizations. The middle panel shows the weekly portfolio rebalancing approach (green color) with 101 portfolio optimizations, that is, an optimization every five working days. Finally, the lower panel displays the monthly rebalancing frequency (red color) with 23 time-varying optimization problems, i.e. every 22 working days.. (For interpretation of the references to color in this figure legend, the reader is referred to the web version of this article.)