Positive-definite modification of a covariance matrix by minimizing the matrix \(\ell_{\infty}\) norm with applications to portfolio optimization (Q2068898)
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scientific article; zbMATH DE number 7460358
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| English | Positive-definite modification of a covariance matrix by minimizing the matrix \(\ell_{\infty}\) norm with applications to portfolio optimization |
scientific article; zbMATH DE number 7460358 |
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Positive-definite modification of a covariance matrix by minimizing the matrix \(\ell_{\infty}\) norm with applications to portfolio optimization (English)
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20 January 2022
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high-dimensional covariance matrix
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linear shrinkage
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matrix \(\ell_{\infty }\) norm
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minimum variance portfolio
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positive definiteness
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regularized covariance matrix estimator
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0.85888374
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0.85348535
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0.8490468
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0.84055597
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0.8405355
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