Positive-definite modification of a covariance matrix by minimizing the matrix _ norm with applications to portfolio optimization

DOI10.1007/S10182-021-00396-7zbMATH Open1478.62118OpenAlexW3139118250MaRDI QIDQ2068898FDOQ2068898

Johan Lim, Shota Katayama, Seonghun Cho, Young-Geun Choi

Publication date: 20 January 2022

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-021-00396-7

zbMATH Keywords

minimum variance portfoliopositive definitenesslinear shrinkagehigh-dimensional covariance matrixmatrix \(\ell_{\infty }\) normregularized covariance matrix estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• Numerical implementation of the QuEST function
• Large Covariance Estimation by Thresholding Principal Orthogonal Complements
• Covariance regularization by thresholding
• Regularized estimation of large covariance matrices
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• Condition-Number-Regularized Covariance Estimation
• Positive definite estimators of large covariance matrices
• Adaptive Thresholding for Sparse Covariance Matrix Estimation
• Optimal rates of convergence for sparse covariance matrix estimation
• Optimal rates of convergence for covariance matrix estimation
• Positive-Definite ℓ₁-Penalized Estimation of Large Covariance Matrices
• Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage
• A Convex Pseudolikelihood Framework for High Dimensional Partial Correlation Estimation with Convergence Guarantees
• OR Forum—Design of Risk Weights
• High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators

Cited In (2)

• Ridge estimation of covariance matrix from data in two classes.
• Estimation of sparse covariance matrix via non-convex regularization

Uses Software

• QuEST

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