Large dynamic covariance matrix estimation with an application to portfolio allocation: a semiparametric reproducing kernel Hilbert space approach

DOI10.1007/s11424-021-0168-3zbMath1497.91282OpenAlexW4289886681MaRDI QIDQ2674937

Siyang Peng, Yong-Hong Long, Shao-Jun Guo

Publication date: 14 September 2022

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-021-0168-3

zbMATH Keywords

reproducing kernel Hilbert spacefactor modelsportfolio allocationdynamic structurehigh dimensional covariance matrices

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• High dimensional covariance matrix estimation using a factor model
• Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
• Improved ANOVAE of the covariance matrix in general linear mixed models
• An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact
• A new estimator of covariance matrix via partial Iwasawa coordinates
• Generalized autoregressive conditional heteroscedasticity
• Forecasting stock market movement direction with support vector machine
• Dynamic portfolio choice under the time-varying, jumps, and Knight uncertainty of asset return process
• Some results on Tchebycheffian spline functions and stochastic processes
• Efficient computation of smoothing splines via adaptive basis sampling
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Fast Alternating Direction Optimization Methods
• Robust Estimation of a Location Parameter

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