Pages that link to "Item:Q4916498"
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The following pages link to Vast Portfolio Selection With Gross-Exposure Constraints (Q4916498):
Displayed 31 items.
- Estimation of the global minimum variance portfolio in high dimensions (Q90168) (← links)
- Direct shrinkage estimation of large dimensional precision matrix (Q268760) (← links)
- Robust inference of risks of large portfolios (Q308377) (← links)
- Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach (Q319341) (← links)
- Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization (Q322443) (← links)
- A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data (Q384764) (← links)
- Risks of large portfolios (Q494174) (← links)
- Penalized least squares estimation with weakly dependent data (Q525888) (← links)
- Exact and asymptotic tests on a factor model in low and large dimensions with applications (Q739589) (← links)
- Risk minimization in multi-factor portfolios: what is the best strategy? (Q1621911) (← links)
- A linear programming model for selection of sparse high-dimensional multiperiod portfolios (Q1622825) (← links)
- Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (Q1623568) (← links)
- Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints (Q1627827) (← links)
- Empirical properties of a heterogeneous agent model in large dimensions (Q1655655) (← links)
- The dual and degrees of freedom of linearly constrained generalized Lasso (Q1663318) (← links)
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data (Q1676387) (← links)
- Optimal shrinkage estimator for high-dimensional mean vector (Q1733270) (← links)
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data (Q1739632) (← links)
- Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach (Q1787328) (← links)
- Asset allocation strategies based on penalized quantile regression (Q1789637) (← links)
- Diversified minimum-variance portfolios (Q2351637) (← links)
- Constructing optimal sparse portfolios using regularization methods (Q2355718) (← links)
- Asymptotic behavior of Mean-CVaR portfolio selection model under nonparametric framework (Q2408890) (← links)
- Asymptotic theory for maximum deviations of sample covariance matrix estimates (Q2447660) (← links)
- Generalized alternating direction method of multipliers: new theoretical insights and applications (Q2516351) (← links)
- Resolution of Degeneracy in Merton's Portfolio Problem (Q2953941) (← links)
- Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation (Q3465255) (← links)
- Bootstrap maximum likelihood for quasi-stationary distributions (Q4613965) (← links)
- Positive-Definite ℓ<sub>1</sub>-Penalized Estimation of Large Covariance Matrices (Q4904725) (← links)
- Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor (Q5250044) (← links)
- Large Covariance Estimation by Thresholding Principal Orthogonal Complements (Q5743151) (← links)