A Synthetic Regression Model for Large Portfolio Allocation
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Cites work
- A well-conditioned estimator for large-dimensional covariance matrices
- Common risk factors in the returns on stocks and bonds
- Covariance regularization by thresholding
- Estimation of the covariance matrix of random effects in longitudinal studies
- Generalized thresholding of large covariance matrices
- High dimensional covariance matrix estimation using a factor model
- High dimensional inverse covariance matrix estimation via linear programming
- High-dimensional covariance matrix estimation in approximate factor models
- High-dimensional generalized linear models and the lasso
- Jackknife Estimator for Tracking Error Variance of Optimal Portfolios
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Lasso-type recovery of sparse representations for high-dimensional data
- Minimax bounds for sparse PCA with noisy high-dimensional data
- Nonparametric eigenvalue-regularized precision or covariance matrix estimator
- Operator norm consistent estimation of large-dimensional sparse covariance matrices
- Optimal detection of sparse principal components in high dimension
- Regularized estimation of large covariance matrices
- Restricted eigenvalue properties for correlated Gaussian designs
- Robust estimation of high-dimensional covariance and precision matrices
- Simultaneous analysis of Lasso and Dantzig selector
- Sparse and stable Markowitz portfolios
- Sparsity oracle inequalities for the Lasso
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
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