Dynamic shrinkage estimation of the high-dimensional minimum-variance portfolio

DOI10.1109/TSP.2023.3263950MaRDI QIDQ6603492zbMATH OpenFDO

Authors Taras Bodnar, Nestor Parolya, Erik Thorsén

Publication date 12 September 2024

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TSP.2023.3263950

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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