Improved precision matrix estimation for mean-variance portfolio selection

DOI10.1080/02331888.2025.2459154MaRDI QIDQ6986570zbMATH OpenFDO

Authors Raffaele Mattera

Publication date 11 May 2025

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331888.2025.2459154

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• A well-conditioned estimator for large-dimensional covariance matrices
• Direct shrinkage estimation of large dimensional precision matrix
• Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination
• Estimation of the inverse covariance matrix: Random mixtures of the inverse Wishart matrix and the identity
• Linear shrinkage estimation of large covariance matrices using factor models
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix
• Portfolio selection: shrinking the time-varying inverse conditional covariance matrix

This page was built for publication: Improved precision matrix estimation for mean-variance portfolio selection

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6986570)