| Publication | Date of Publication | Type |
|---|
Dynamic shrinkage estimation of the high-dimensional minimum-variance portfolio
IEEE Transactions on Signal Processing | 2024-09-12 | Paper |
Log determinant of large correlation matrices under infinite fourth moment
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2024-09-02 | Paper |
Optimal Shrinkage-Based Portfolio Selection in High Dimensions
Journal of Business and Economic Statistics | 2024-08-13 | Paper |
Logarithmic law of large random correlation matrices
Bernoulli | 2024-01-16 | Paper |
Multi-period power utility optimization under stock return predictability
Computational Management Science | 2023-12-14 | Paper |
Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
Random Matrices: Theory and Applications | 2023-11-08 | Paper |
Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
Random Matrices: Theory and Applications | 2023-09-26 | Paper |
Statistical Inference for the Expected Utility Portfolio in High Dimensions
IEEE Transactions on Signal Processing | 2022-09-23 | Paper |
Recent advances in shrinkage-based high-dimensional inference
Journal of Multivariate Analysis | 2022-01-03 | Paper |
| Log determinant of large correlation matrices under infinite fourth moment | 2021-12-31 | Paper |
Bayesian mean-variance analysis: optimal portfolio selection under parameter uncertainty
Quantitative Finance | 2021-06-02 | Paper |
Mean-variance efficiency of optimal power and logarithmic utility portfolios
Mathematics and Financial Economics | 2021-05-03 | Paper |
Discriminant analysis in small and large dimensions
Theory of Probability and Mathematical Statistics | 2020-08-26 | Paper |
| Spectral analysis of large reflexive generalized inverse and Moore-Penrose inverse matrices | 2020-04-27 | Paper |
On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension
Theory of Probability and Mathematical Statistics | 2020-03-03 | Paper |
| scientific article; zbMATH DE number 7168259 (Why is no real title available?) | 2020-02-17 | Paper |
Bayesian inference of the multi-period optimal portfolio for an exponential utility
Journal of Multivariate Analysis | 2020-02-05 | Paper |
Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting
IEEE Transactions on Signal Processing | 2019-10-28 | Paper |
Testing for independence of large dimensional vectors
The Annals of Statistics | 2019-10-09 | Paper |
Testing for independence of large dimensional vectors
The Annals of Statistics | 2019-10-09 | Paper |
Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions
Scandinavian Journal of Statistics | 2019-06-07 | Paper |
Optimal shrinkage estimator for high-dimensional mean vector
Journal of Multivariate Analysis | 2019-03-21 | Paper |
Estimation of the global minimum variance portfolio in high dimensions
European Journal of Operational Research | 2018-05-30 | Paper |
Estimation of the global minimum variance portfolio in high dimensions
European Journal of Operational Research | 2018-04-01 | Paper |
Tests for the weights of the global minimum variance portfolio in a high-dimensional setting
(available as arXiv preprint) | 2017-10-26 | Paper |
On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
European Journal of Operational Research | 2016-10-06 | Paper |
The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility
Operations Research Proceedings | 2016-05-19 | Paper |
Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix
Journal of Multivariate Analysis | 2016-05-04 | Paper |
Direct shrinkage estimation of large dimensional precision matrix
Journal of Multivariate Analysis | 2016-04-15 | Paper |
A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
Annals of Operations Research | 2015-08-21 | Paper |
On the equivalence of quadratic optimization problems commonly used in portfolio theory
European Journal of Operational Research | 2015-07-28 | Paper |
On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix
Journal of Multivariate Analysis | 2014-10-08 | Paper |
| scientific article; zbMATH DE number 5946235 (Why is no real title available?) | 2011-09-08 | Paper |
Killed Markov Decision Processes on Finite Time Interval for Countable Models
(available as arXiv preprint) | 2011-05-18 | Paper |
Reviving pseudo-inverses: Asymptotic properties of large dimensional Moore-Penrose and Ridge-type inverses with applications
(available as arXiv preprint) | N/A | Paper |
