Robustifying Markowitz (Q6150519)

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scientific article; zbMATH DE number 7814007

Language	Label	Description	Also known as
English	Robustifying Markowitz	scientific article; zbMATH DE number 7814007

Statements

scholarly article

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Robustifying Markowitz (English)

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Wolfgang Karl Härdle

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Nikita Zhivotovskiy

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Journal of Econometrics

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publication date

6 March 2024

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full work available at URL

https://arxiv.org/abs/2212.13996

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MaRDI profile type

MaRDI publication profile

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Statistical analysis of factor models of high dimension

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

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On Monte-Carlo methods in convex stochastic optimization

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Computing efficient frontiers using estimated parameters

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Algorithms for heavy-tailed statistics: regression, covariance estimation, and beyond

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Portfolio Selection with Robust Estimation

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Robust sub-Gaussian estimation of a mean vector in nearly linear time

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

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On the Realized Risk of High-Dimensional Markowitz Portfolios

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High dimensional covariance matrix estimation using a factor model

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Large Covariance Estimation by Thresholding Principal Orthogonal Complements

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Robust covariance estimation for approximate factor models

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Vast Portfolio Selection With Gross-Exposure Constraints

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Mean estimation with sub-Gaussian rates in polynomial time

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User-friendly covariance estimation for heavy-tailed distributions

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Robust \(k\)-means clustering for distributions with two moments

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Concentration inequalities and moment bounds for sample covariance operators

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A well-conditioned estimator for large-dimensional covariance matrices

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Mean estimation and regression under heavy-tailed distributions: A survey

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Sub-Gaussian estimators of the mean of a random vector

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Robust multivariate mean estimation: the optimality of trimmed mean

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Robust covariance estimation under \(L_4\)-\(L_2\) norm equivalence

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Forecasting Using Principal Components From a Large Number of Predictors

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On the best constants in the Khinchin inequality

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High-Dimensional Probability

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Robust portfolio optimization: a categorized bibliographic review

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Robust estimation via generalized quasi-gradients

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Identifiers

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.JECONOM.2022.12.006

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Sitelinks

Mathematics(1 entry)

mardi Publication:6150519

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