Pages that link to "Item:Q4916498"
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The following pages link to Vast Portfolio Selection With Gross-Exposure Constraints (Q4916498):
Displayed 50 items.
- Estimation of the global minimum variance portfolio in high dimensions (Q90168) (← links)
- Direct shrinkage estimation of large dimensional precision matrix (Q268760) (← links)
- Robust inference of risks of large portfolios (Q308377) (← links)
- Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach (Q319341) (← links)
- Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization (Q322443) (← links)
- A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data (Q384764) (← links)
- Risks of large portfolios (Q494174) (← links)
- Penalized least squares estimation with weakly dependent data (Q525888) (← links)
- Exact and asymptotic tests on a factor model in low and large dimensions with applications (Q739589) (← links)
- Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios (Q783138) (← links)
- Risk minimization in multi-factor portfolios: what is the best strategy? (Q1621911) (← links)
- A linear programming model for selection of sparse high-dimensional multiperiod portfolios (Q1622825) (← links)
- Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (Q1623568) (← links)
- Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints (Q1627827) (← links)
- Empirical properties of a heterogeneous agent model in large dimensions (Q1655655) (← links)
- The dual and degrees of freedom of linearly constrained generalized Lasso (Q1663318) (← links)
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data (Q1676387) (← links)
- Optimal shrinkage estimator for high-dimensional mean vector (Q1733270) (← links)
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data (Q1739632) (← links)
- Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach (Q1787328) (← links)
- Asset allocation strategies based on penalized quantile regression (Q1789637) (← links)
- Weighted covariance matrix estimation (Q2002720) (← links)
- Parameter-free robust optimization for the maximum-Sharpe portfolio problem (Q2030537) (← links)
- Quantile-based portfolios: post-model-selection estimation with alternative specifications (Q2051169) (← links)
- Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization (Q2057226) (← links)
- On the long-only minimum variance portfolio under single factor model (Q2060386) (← links)
- Sparse portfolio selection via Bayesian multiple testing (Q2061782) (← links)
- Degrees of freedom for regularized regression with Huber loss and linear constraints (Q2062389) (← links)
- Recent advances in shrinkage-based high-dimensional inference (Q2062777) (← links)
- Estimating high-dimensional covariance and precision matrices under general missing dependence (Q2074279) (← links)
- Regularized factor portfolio for cross-sectional multifactor models (Q2082324) (← links)
- Multivariate sparse Laplacian shrinkage for joint estimation of two graphical structures (Q2101407) (← links)
- Asset selection based on high frequency Sharpe ratio (Q2116331) (← links)
- Sparse and robust mean-variance portfolio optimization problems (Q2158966) (← links)
- Statistical analysis of sparse approximate factor models (Q2199708) (← links)
- Certifiably optimal sparse inverse covariance estimation (Q2205987) (← links)
- High-dimensional minimum variance portfolio estimation based on high-frequency data (Q2294454) (← links)
- A closer look at the minimum-variance portfolio optimization model (Q2300406) (← links)
- Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory (Q2317293) (← links)
- Sparse precision matrices for minimum variance portfolios (Q2320464) (← links)
- Un-diversifying during crises: is it a good idea? (Q2320465) (← links)
- Large-scale portfolio allocation under transaction costs and model uncertainty (Q2323379) (← links)
- Diversified minimum-variance portfolios (Q2351637) (← links)
- Constructing optimal sparse portfolios using regularization methods (Q2355718) (← links)
- Asymptotic behavior of Mean-CVaR portfolio selection model under nonparametric framework (Q2408890) (← links)
- Asymptotic theory for maximum deviations of sample covariance matrix estimates (Q2447660) (← links)
- Generalized alternating direction method of multipliers: new theoretical insights and applications (Q2516351) (← links)
- High dimensional minimum variance portfolio estimation under statistical factor models (Q2658801) (← links)
- An integrated precision matrix estimation for multivariate regression problems (Q2676914) (← links)
- A Bayesian graphical approach for large-scale portfolio management with fewer historical data (Q2686273) (← links)