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
Authors: Seonghun Cho, Shota Katayama, Johan Lim, 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
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Cites Work
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- Positive definite estimators of large covariance matrices
- Adaptive thresholding for sparse covariance matrix estimation
- Optimal rates of convergence for sparse covariance matrix estimation
- Minimax estimation of large covariance matrices under \(\ell_1\)-norm
- Optimal rates of convergence for covariance matrix estimation
- Positive-definite \(\ell_1\)-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
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