Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting

DOI10.1109/TSP.2019.2929964MaRDI QIDQ5238992zbMATH OpenWikidataFDO

Authors Taras Bodnar, Solomiia Dmytriv, Nestor Parolya, Wolfgang Schmid

Publication date 28 October 2019

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

Full work available at URL https://arxiv.org/abs/1710.09587

Mathematics Subject Classification ID

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

Cited in

(16)

• HDShOP
• Quantile-based optimal portfolio selection
• Recent advances in shrinkage-based high-dimensional inference
• Bayesian portfolio selection using VaR and CVaR
• Bayesian inference of the multi-period optimal portfolio for an exponential utility
• An exact test on structural changes in the weights of the global minimum variance portfolio
• Bayesian mean-variance analysis: optimal portfolio selection under parameter uncertainty
• Reverse stress testing in skew-elliptical models
• Cardinality-constrained portfolio selection based on collaborative neurodynamic optimization
• Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
• Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
• Tests for the weights of the global minimum variance portfolio in a high-dimensional setting
• Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
• Higher-order nonlinear shrinkage estimator of large-dimensional precision matrix
• Nonlinear shrinkage test on a large-dimensional covariance matrix
• Estimation of the global minimum variance portfolio in high dimensions

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