Statistical Inference for the Expected Utility Portfolio in High Dimensions

DOI10.1109/TSP.2020.3037369MaRDI QIDQ5103253zbMATH OpenFDO

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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