The effect of estimation in high-dimensional portfolios
From MaRDI portal
Publication:2847243
DOI10.1111/J.1467-9965.2011.00505.XzbMATH Open1386.91126OpenAlexW2125044430WikidataQ57834980 ScholiaQ57834980MaRDI QIDQ2847243FDOQ2847243
Authors: Axel Gandy, Luitgard A. M. Veraart 
Publication date: 4 September 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00505.x
Recommendations
- Resolution of degeneracy in Merton's portfolio problem
- On the realized risk of high-dimensional Markowitz portfolios
- A linear programming model for selection of sparse high-dimensional multiperiod portfolios
- Impact of error in parameter estimations on large scale portfolio optimization
- High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cites Work
- Least angle regression. (With discussion)
- Title not available (Why is that?)
- Estimation of the mean of a multivariate normal distribution
- Optimum consumption and portfolio rules in a continuous-time model
- Data Analysis Using Stein's Estimator and its Generalizations
- Portfolio Selection with Transaction Costs
- Remarks on deviation inequalities for functions of infinitely divisible random vectors
- Title not available (Why is that?)
- Portfolio optimization with unobservable Markov-modulated drift process
- Convex duality in constrained portfolio optimization
- Sparse and stable Markowitz portfolios
- Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
- Flexible shrinkage in portfolio selection
- The relaxed investor and parameter uncertainty
- A generalized clark representation formula, with application to optimal portfolios
- Essentials of Statistical Inference
- Further results on asset pricing with incomplete information
Cited In (11)
- Optimal diversification in the presence of parameter uncertainty for a risk averse investor
- Divergent estimation error in portfolio optimization and in linear regression
- Impact of error in parameter estimations on large scale portfolio optimization
- A linear programming model for selection of sparse high-dimensional multiperiod portfolios
- A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection
- Resolution of degeneracy in Merton's portfolio problem
- Modelling electricity futures by ambit fields
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
- Data-based adaptive estimation in an investment model
- Risks of large portfolios
This page was built for publication: The effect of estimation in high-dimensional portfolios
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2847243)
