The effect of estimation in high-dimensional portfolios
From MaRDI portal
Publication:2847243
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
Cites work
- scientific article; zbMATH DE number 1239310 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- A generalized clark representation formula, with application to optimal portfolios
- Convex duality in constrained portfolio optimization
- Data Analysis Using Stein's Estimator and its Generalizations
- Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
- Essentials of Statistical Inference
- Estimation of the mean of a multivariate normal distribution
- Flexible shrinkage in portfolio selection
- Further results on asset pricing with incomplete information
- Least angle regression. (With discussion)
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio Selection with Transaction Costs
- Portfolio optimization with unobservable Markov-modulated drift process
- Remarks on deviation inequalities for functions of infinitely divisible random vectors
- Sparse and stable Markowitz portfolios
- The relaxed investor and parameter uncertainty
Cited in
(11)- A linear programming model for selection of sparse high-dimensional multiperiod portfolios
- Risks of large portfolios
- High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
- Data-based adaptive estimation in an investment model
- Modelling electricity futures by ambit fields
- Divergent estimation error in portfolio optimization and in linear regression
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Impact of error in parameter estimations on large scale portfolio optimization
- Optimal diversification in the presence of parameter uncertainty for a risk averse investor
- A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection
- Resolution of degeneracy in Merton's portfolio problem
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)
