Precision matrix estimation for the global minimum variance portfolio

DOI10.1007/978-3-030-78965-7_53MaRDI QIDQ7231799zbMATH OpenFDO

Authors Marco Neffelli, Maria Elena De Giuli, Marina Resta

Publication date 22 April 2026

Full work available at URL https://doi.org/10.1007/978-3-030-78965-7_53

zbMATH Keywords

estimation errorglobal minimum variance portfolioprecision matrix

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

Cites work

• Alternatives to the Median Absolute Deviation
• Estimation of the global minimum variance portfolio in high dimensions

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