Predicting the Global Minimum Variance Portfolio
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Cites work
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- A well-conditioned estimator for large-dimensional covariance matrices
- Convergence and exponential convergence of identification algorithms with directional forgetting factor
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Higher order elicitability and Osband's principle
- scientific article; zbMATH DE number 3875113 (Why is no real title available?)
- scientific article; zbMATH DE number 52648 (Why is no real title available?)
- Making and evaluating point forecasts
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- On a general concept of forgetting
- On the benefits of equicorrelation for portfolio allocation
- Online Adaptive Estimation of Sparse Signals: Where RLS Meets the $\ell_1$-Norm
- Recursive estimation and time-series analysis. An introduction for the student and practitioner
- Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
- The Model Confidence Set
- Vast portfolio selection with gross-exposure constraints
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