Risks of large portfolios (Q494174)

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Language	Label	Description	Also known as
English	Risks of large portfolios	scientific article

Statements

scholarly article

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Risks of large portfolios (English)

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Journal of Econometrics

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publication date

31 August 2015

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full work available at URL

https://arxiv.org/abs/1302.0926

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http://europepmc.org/articles/pmc4504849

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zbMATH Keywords

high dimensionality

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factor models

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principal components

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sparse matrix

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volatility

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MaRDI profile type

MaRDI publication profile

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Eigenvalue Ratio Test for the Number of Factors

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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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Regularization of Wavelet Approximations

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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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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

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High-dimensional covariance matrix estimation in approximate factor models

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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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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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Forecasting Using Principal Components From a Large Number of Predictors

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.JECONOM.2015.02.015

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Sitelinks

Mathematics(1 entry)

mardi Publication:494174

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