Statistical Inference for the Expected Utility Portfolio in High Dimensions

DOI10.1109/TSP.2020.3037369MaRDI QIDQ5103253FDOQ5103253

Authors: Taras Bodnar, Solomiia Dmytriv, Yarema Okhrin, Nestor Parolya, Wolfgang Schmid 

Publication date: 23 September 2022

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (5)

• On the mean and variance of the estimated tangency portfolio weights for small samples
• Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
• Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
• Recent advances in shrinkage-based high-dimensional inference
• Optimal Shrinkage-Based Portfolio Selection in High Dimensions

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