Improving portfolios global performance using a cleaned and robust covariance matrix estimate
DOI10.1007/S00500-020-04840-9zbMATH Open1489.91232OpenAlexW2984278512MaRDI QIDQ2153647FDOQ2153647
Authors: Emmanuelle Jay, Thibault Soler, Eugénie Terreaux, Philippe De Peretti, Christophe Chorro, Jean Philippe Ovarlez, Frédéric Pascal 
Publication date: 12 July 2022
Published in: Soft Computing (Search for Journal in Brave)
Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-02354596/file/19022.pdf
Recommendations
- Estimation of the global minimum variance portfolio in high dimensions
- Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
- Portfolio optimization under VaR constraints based on dynamic estimates of the variance-covariance matrix
- High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators
- On peculiarities of CoVaR-based portfolio selection
- A new procedure for resampled portfolio with shrinkaged covariance matrix
- Optimal portfolio selection with singular covariance matrix
- Outlier removal for prediction of covariance matrices with an application to portfolio optimization
- Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix
factor modelrandom matrix theorycovariance matrixminimum variance portfoliothresholdingportfolio selectionelliptic distributionmaximum variety portfolio
Cites Work
- A distribution-free M-estimator of multivariate scatter
- Robust m-estimators of multivariate location and scatter
- A well-conditioned estimator for large-dimensional covariance matrices
- DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
- On the theory of elliptically contoured distributions
- Common risk factors in the returns on stocks and bonds
- Title not available (Why is that?)
- Eigenvectors of some large sample covariance matrix ensembles
- Toeplitz and circulant matrices: a review.
- Complex Elliptically Symmetric Distributions: Survey, New Results and Applications
- Robust Estimates of Covariance Matrices in the Large Dimensional Regime
- Covariance Structure Maximum-Likelihood Estimates in Compound Gaussian Noise: Existence and Algorithm Analysis
- Robust Shrinkage Estimation of High-Dimensional Covariance Matrices
- Robust spiked random matrices and a robust G-MUSIC estimator
- A subspace estimator for fixed rank perturbations of large random matrices
- RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
- Statistical Inference in Large Antenna Arrays Under Unknown Noise Pattern
- Non-Parametric Detection of the Number of Signals: Hypothesis Testing and Random Matrix Theory
- Rotational Invariant Estimator for General Noisy Matrices
- Financial applications of random matrix theory: a short review
- Cleaning large correlation matrices: tools from random matrix theory
- Generalized Robust Shrinkage Estimator and Its Application to STAP Detection Problem
- Collective behavior of stock price movements - a random matrix theory approach
- Title not available (Why is that?)
- A Robust Statistics Approach to Minimum Variance Portfolio Optimization
Cited In (1)
This page was built for publication: Improving portfolios global performance using a cleaned and robust covariance matrix estimate
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2153647)
