Risks of large portfolios (Q494174): Difference between revisions

@@ Property / DOI @@
-.1016/j.jeconom.2015.02.015
@@ Property / DOI: 10.1016/j.jeconom.2015.02.015 / rank @@
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@@ Property / author @@
-Jianqing Fan
@@ Property / author: Jianqing Fan / rank @@
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@@ Property / author @@
-Yuan Liao
@@ Property / author: Yuan Liao / rank @@
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@@ Property / author @@
-Jianqing Fan
@@ Property / author: Jianqing Fan / rank @@
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@@ Property / author @@
+Jianqing Fan
@@ Property / author: Jianqing Fan / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q40714022
@@ Property / Wikidata QID: Q40714022 / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W3125932699
@@ Property / OpenAlex ID: W3125932699 / rank @@
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@@ Property / arXiv ID @@
+.0926
@@ Property / arXiv ID: 1302.0926 / rank @@
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@@ Property / cites work @@
+Eigenvalue Ratio Test for the Number of Factors
@@ Property / cites work: Eigenvalue Ratio Test for the Number of Factors / rank @@
+Normal rank
@@ Property / cites work @@
+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
+Normal rank
@@ Property / cites work @@
+Regularization of Wavelet Approximations
@@ Property / cites work: Regularization of Wavelet Approximations / rank @@
+Normal rank
@@ Property / cites work @@
+Inferential Theory for Factor Models of Large Dimensions
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@@ Property / cites work @@
+Determining the Number of Factors in Approximate Factor Models
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@@ Property / cites work @@
+Sparse and stable Markowitz portfolios
@@ Property / cites work: Sparse and stable Markowitz portfolios / rank @@
+Normal rank
@@ Property / cites work @@
+Adaptive Thresholding for Sparse Covariance Matrix Estimation
+Normal rank
@@ Property / cites work @@
+Estimation of covariance matrix via the sparse Cholesky factor with lasso
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@@ Property / cites work @@
+Weak and strong cross‐section dependence and estimation of large panels
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@@ Property / cites work @@
+A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
+Normal rank
@@ Property / cites work @@
+High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
+Normal rank
@@ Property / cites work @@
+High dimensional covariance matrix estimation using a factor model
+Normal rank
@@ Property / cites work @@
+High-dimensional covariance matrix estimation in approximate factor models
+Normal rank
@@ Property / cites work @@
+Large Covariance Estimation by Thresholding Principal Orthogonal Complements
+Normal rank
@@ Property / cites work @@
+Nonlinear time series. Nonparametric and parametric methods
+Normal rank
@@ Property / cites work @@
+Vast Portfolio Selection With Gross-Exposure Constraints
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@@ Property / cites work @@
+High-dimensional volatility matrix estimation via wavelets and thresholding
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@@ Property / cites work @@
+THE EFFECT OF ESTIMATION IN HIGH-DIMENSIONAL PORTFOLIOS
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@@ Property / cites work @@
+Q4920678
@@ Property / cites work: Q4920678 / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-variance portfolio optimization when means and covariances are unknown
+Normal rank
@@ Property / cites work @@
+A Bernstein type inequality and moderate deviations for weakly dependent sequences
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@@ Property / cites work @@
+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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@@ Property / cites work @@
+Automatic Lag Selection in Covariance Matrix Estimation
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@@ Property / cites work @@
+On the asymptotic normality of sequences of weak dependent random variables
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@@ Property / cites work @@
+Generalized Thresholding of Large Covariance Matrices
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@@ Property / cites work @@
+Q4727203
@@ Property / cites work: Q4727203 / rank @@
+Normal rank
@@ Property / cites work @@
+Forecasting Using Principal Components From a Large Number of Predictors
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@@ Property / DOI @@
+.1016/J.JECONOM.2015.02.015
@@ Property / DOI: 10.1016/J.JECONOM.2015.02.015 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:494174