Estimation of the global minimum variance portfolio in high dimensions

DOI10.1016/j.ejor.2017.09.028zbMath1403.91307arXiv1406.0437OpenAlexW2963070656MaRDI QIDQ90168

Taras Bodnar, Nestor Parolya, Wolfgang Schmid, Nestor Parolya, Taras Bodnar

Publication date: April 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.0437

zbMATH Keywords

random matrix theoryfinancelarge-dimensional asymptoticscovariance matrix estimationglobal minimum variance portfolio

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (14)

A test on the location of the tangency portfolio on the set of feasible portfolios ⋮ A risk perspective of estimating portfolio weights of the global minimum-variance portfolio ⋮ Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty ⋮ Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions ⋮ How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality ⋮ Logarithmic law of large random correlation matrices ⋮ Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices ⋮ BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO ⋮ Quantile-based optimal portfolio selection ⋮ Recent advances in shrinkage-based high-dimensional inference ⋮ Unrestricted maximum likelihood estimation of multivariate realized volatility models ⋮ A test on mean-variance efficiency of the tangency portfolio in high-dimensional setting ⋮ High-dimensional correlation matrix estimation for general continuous data with Bagging technique ⋮ HDShOP

Uses Software

• R
• MASS (R)

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