Minimum variance portfolio estimation from high-dimensional and high-frequency perspective

MaRDI QIDQ5017386zbMATH OpenFDO

Authors L. Liu

Publication date 17 December 2021

zbMATH Keywords

CLIME estimatorhigh frequency dataminimum variance portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10) Statistical methods; risk measures (91G70)

Recommendations

• High-dimensional minimum variance portfolio estimation based on high-frequency data
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Cited in

(9)

• Large-scale minimum variance portfolio allocation using double regularization
• High-dimensional minimum variance portfolio estimation based on high-frequency data
• Sequential monitoring of minimum variance portfolio
• High dimensional minimum variance portfolio estimation under statistical factor models
• Estimation and application study on the large dimensional covariance matrix of mixed-frequency data
• Comparison among high dimensional covariance matrix estimation methods
• High-frequency portfolio optimization with long-term CVaR constraints
• Estimation of high dimensional portfolio risk
• Estimation of the global minimum variance portfolio in high dimensions

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