Robust dependence modeling for high-dimensional covariance matrices with financial applications

DOI10.1214/17-AOAS1087zbMath1405.62150OpenAlexW2884466521MaRDI QIDQ1624844

Roy E. Welsch, Zhe Zhu

Publication date: 16 November 2018

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aoas/1532743492

zbMATH Keywords

robust estimationportfolio selectionregular vineactive asset allocationcovariance/correlation estimationhigh-dimensional dependence modeling

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35) Portfolio theory (91G10)

Uses Software

• mvBACON

Cites Work

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