Risks of large portfolios (Q494174): Difference between revisions

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