High-dimensional minimum variance portfolio estimation based on high-frequency data
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- Minimum variance portfolio estimation from high-dimensional and high-frequency perspective
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- Large-scale minimum variance portfolio allocation using double regularization
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Cited in
(31)- Large portfolio allocation using high-frequency financial data
- Recent advances in shrinkage-based high-dimensional inference
- On the mean and variance of the estimated tangency portfolio weights for small samples
- Large-scale minimum variance portfolio allocation using double regularization
- High dimensional minimum variance portfolio estimation under statistical factor models
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- Statistical inference for high-dimensional global minimum variance portfolios
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- Estimation of Out-of-Sample Sharpe Ratio for High Dimensional Portfolio Optimization
- Estimation of the global minimum variance portfolio in high dimensions
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