Pages that link to "Item:Q737248"

The following pages link to Dominating estimators for minimum-variance portfolios (Q737248):

Displaying 27 items.

• Estimation of the global minimum variance portfolio in high dimensions (Q90168) (← links)
• Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data (Q378919) (← links)
• On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix (Q458655) (← links)
• A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function (Q492800) (← links)
• A theoretical foundation of portfolio resampling (Q497474) (← links)
• Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (Q1623568) (← links)
• Multiple tests for the performance of different investment strategies (Q1633252) (← links)
• Asset allocation with correlation: a composite trade-off (Q1683161) (← links)
• Recent advances in shrinkage-based high-dimensional inference (Q2062777) (← links)
• Regularized factor portfolio for cross-sectional multifactor models (Q2082324) (← links)
• A risk perspective of estimating portfolio weights of the global minimum-variance portfolio (Q2176327) (← links)
• Statistical properties of estimators for the log-optimal portfolio (Q2216173) (← links)
• On the market price of risk (Q2230759) (← links)
• Optimal portfolio choice: a minimum expected loss approach (Q2299386) (← links)
• A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables (Q2323372) (← links)
• On the equivalence of quadratic optimization problems commonly used in portfolio theory (Q2355895) (← links)
• D-trace estimation of a precision matrix using adaptive lasso penalties (Q2418368) (← links)
• Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data (Q2682965) (← links)
• LIQUIDITY RISK AND INSTABILITIES IN PORTFOLIO OPTIMIZATION (Q2816955) (← links)
• Statistical Inference for High-Dimensional Global Minimum Variance Portfolios (Q2932763) (← links)
• Replica approach to mean-variance portfolio optimization (Q3302503) (← links)
• Analytic solution to variance optimization with no short positions (Q3302932) (← links)
• Portfolio optimization under Expected Shortfall: contour maps of estimation error (Q4554495) (← links)
• Precision matrix estimation under data contamination with an application to minimum variance portfolio selection (Q5082899) (← links)
• Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio (Q5129173) (← links)
• Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions (Q6063734) (← links)
• Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property (Q6190962) (← links)