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

DOI10.1007/S10182-021-00396-7MaRDI QIDQ2068898zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• A convex pseudolikelihood framework for high dimensional partial correlation estimation with convergence guarantees
• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• Adaptive thresholding for sparse covariance matrix estimation
• Condition-number-regularized covariance estimation
• Covariance regularization by thresholding
• Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage
• High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators
• Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
• Minimax estimation of large covariance matrices under \(\ell_1\)-norm
• Numerical implementation of the QuEST function
• OR forum: Design of risk weights
• Optimal rates of convergence for covariance matrix estimation
• Optimal rates of convergence for sparse covariance matrix estimation
• Positive definite estimators of large covariance matrices
• Positive-definite \(\ell_1\)-penalized estimation of large covariance matrices
• Regularized estimation of large covariance matrices

Cited in

(3)

• Ridge estimation of covariance matrix from data in two classes.
• Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage
• Estimation of sparse covariance matrix via non-convex regularization

Describes a project that uses

Uses Software

• QuEST

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