High dimensional minimum variance portfolio estimation under statistical factor models
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Cites work
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- Adaptive thresholding for sparse covariance matrix estimation
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- Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
- Forecasting Using Principal Components From a Large Number of Predictors
- Generalized thresholding of large covariance matrices
- High dimensional covariance matrix estimation using a factor model
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- High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
- Ideal spatial adaptation by wavelet shrinkage
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- Risks of large portfolios
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Vast portfolio selection with gross-exposure constraints
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
Cited in
(37)- On the long-only minimum variance portfolio under single factor model
- Recent advances in shrinkage-based high-dimensional inference
- Regularized factor portfolio for cross-sectional multifactor models
- On the mean and variance of the estimated tangency portfolio weights for small samples
- High-dimensional minimum variance portfolio estimation based on high-frequency data
- Editorial for the special issue on financial econometrics in the age of the digital economy
- Hierarchical Bayes methods for multifactor model estimation and portfolio selection
- Statistical inference for high-dimensional global minimum variance portfolios
- Resolution of degeneracy in Merton's portfolio problem
- High dimensional mean-variance optimization through factor analysis
- Risks of large portfolios
- Minimum variance portfolio estimation from high-dimensional and high-frequency perspective
- Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
- Sharpe ratio analysis in high dimensions: residual-based nodewise regression in factor models
- High-Dimensional Portfolio Selection with Cardinality Constraints
- Time-varying minimum variance portfolio
- Principal component analysis and optimal portfolio
- Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
- Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property
- High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
- Target selection in shrinkage estimation of covariance matrix: a structural similarity approach
- Are minimum variance portfolios in multi-factor models long in low-beta assets?
- On LASSO for high dimensional predictive regression
- Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
- High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation
- Making distributionally robust portfolios feasible in high dimension
- High frequency factor analysis with partially observable factors
- Incorporating Different Sources of Information for Bayesian Optimal Portfolio Selection
- Sparse graphical modelling for global minimum variance portfolio
- Portfolio optimisation via strategy-specific eigenvector shrinkage
- Estimation of large covariance matrices with mixed factor structures
- Multiplicative factor model for volatility
- Covariance matrix estimation in time-varying factor models
- Conditional value-at-risk portfolio optimization in high dimensions
- Factor neutral portfolios
- Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios
- Estimation of the global minimum variance portfolio in high dimensions
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