Time-varying minimum variance portfolio (Q6150513): Difference between revisions

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-.1016/j.jeconom.2022.08.007
@@ Property / DOI: 10.1016/j.jeconom.2022.08.007 / rank @@
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+Using principal component analysis to estimate a high dimensional factor model with high-frequency data
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+ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY
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+Determining the Number of Factors in Approximate Factor Models
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+Covariance regularization by thresholding
@@ Property / cites work: Covariance regularization by thresholding / rank @@
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+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
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+Skill-Biased Structural Change
@@ Property / cites work: Skill-Biased Structural Change / rank @@
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+High-dimensional minimum variance portfolio estimation based on high-frequency data
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+A Constrained<i>ℓ</i><sub>1</sub>Minimization Approach to Sparse Precision Matrix Estimation
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+Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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+A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
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+A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
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+High dimensional minimum variance portfolio estimation under statistical factor models
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+High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
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+Common risk factors in the returns on stocks and bonds
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+High dimensional covariance matrix estimation using a factor model
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+LARGE SYSTEM OF SEEMINGLY UNRELATED REGRESSIONS: A PENALIZED QUASI-MAXIMUM LIKELIHOOD ESTIMATION PERSPECTIVE
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+Statistical Foundations of Data Science
@@ Property / cites work: Statistical Foundations of Data Science / rank @@
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+Large Covariance Estimation by Thresholding Principal Orthogonal Complements
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+Distributed estimation of principal eigenspaces
@@ Property / cites work: Distributed estimation of principal eigenspaces / rank @@
+Normal rank
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+Vast Portfolio Selection With Gross-Exposure Constraints
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+Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
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+High Dimensional Correlation Matrices: The Central Limit Theorem and Its Applications
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+Structural Change in Investment and Consumption—A Unified Analysis
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+Sparsistency and rates of convergence in large covariance matrix estimation
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+Factor modeling for high-dimensional time series: inference for the number of factors
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+Testing Independence Among a Large Number of High-Dimensional Random Vectors
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+High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence
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+On time-varying factor models: estimation and testing
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+Nonparametric estimation of large covariance matrices with conditional sparsity
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+Hypothesis testing on linear structures of high-dimensional covariance matrix
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+Homogeneity tests of covariance matrices with high-dimensional longitudinal data
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@@ Property / DOI @@
+.1016/J.JECONOM.2022.08.007
@@ Property / DOI: 10.1016/J.JECONOM.2022.08.007 / rank @@
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+Publication:6150513