Time-varying minimum variance portfolio (Q6150513)

scientific article; zbMATH DE number 7814001

Language	Label	Description	Also known as
English	Time-varying minimum variance portfolio	scientific article; zbMATH DE number 7814001

Statements

instance of

scholarly article

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title

Time-varying minimum variance portfolio (English)

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published in

Journal of Econometrics

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publication date

6 March 2024

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zbMATH Keywords

minimum variance portfolio

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dynamic covariance

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large portfolio

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shrinkage estimation

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sharp risk consistency

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flexible rebalancing

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MaRDI profile type

MaRDI publication profile

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cites work

Using principal component analysis to estimate a high dimensional factor model with high-frequency data

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ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY

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Determining the Number of Factors in Approximate Factor Models

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Covariance regularization by thresholding

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MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

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Skill-Biased Structural Change

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High-dimensional minimum variance portfolio estimation based on high-frequency data

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A Constrained<i>ℓ</i><sub>1</sub>Minimization Approach to Sparse Precision Matrix Estimation

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Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

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A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables

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A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

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High dimensional minimum variance portfolio estimation under statistical factor models

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High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation

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Common risk factors in the returns on stocks and bonds

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High dimensional covariance matrix estimation using a factor model

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LARGE SYSTEM OF SEEMINGLY UNRELATED REGRESSIONS: A PENALIZED QUASI-MAXIMUM LIKELIHOOD ESTIMATION PERSPECTIVE

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Statistical Foundations of Data Science

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Large Covariance Estimation by Thresholding Principal Orthogonal Complements

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Distributed estimation of principal eigenspaces

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Vast Portfolio Selection With Gross-Exposure Constraints

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Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets

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High Dimensional Correlation Matrices: The Central Limit Theorem and Its Applications

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Structural Change in Investment and Consumption—A Unified Analysis

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Sparsistency and rates of convergence in large covariance matrix estimation

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Factor modeling for high-dimensional time series: inference for the number of factors

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Testing Independence Among a Large Number of High-Dimensional Random Vectors

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High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence

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On time-varying factor models: estimation and testing

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Nonparametric estimation of large covariance matrices with conditional sparsity

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Hypothesis testing on linear structures of high-dimensional covariance matrix

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Homogeneity tests of covariance matrices with high-dimensional longitudinal data

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Identifiers

Mathematics Subject Classification ID

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10.1016/J.JECONOM.2022.08.007

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Sitelinks

Mathematics(1 entry)

mardi Publication:6150513