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

DOI10.1214/17-AOAS1087MaRDI QIDQ1624844zbMATH OpenOpenAlexWikidataFDO

Authors Zhe Zhu, Roy E. Welsch

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)

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Cites work

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• High breakdown-point and high efficiency robust estimates for regression
• High dimensional covariance matrix estimation using a factor model
• On the relation between S-estimators and M-estimators of multivariate location and covariance
• Selecting and estimating regular vine copulae and application to financial returns
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Cited in

(4)

• Application of robust statistics to asset allocation models
• High-dimensional covariance estimation under the presence of outliers
• Outlier removal for prediction of covariance matrices with an application to portfolio optimization
• Robust estimation of efficient mean-variance frontiers

Describes a project that uses

Uses Software

• mvBACON

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