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

DOI10.1109/TSP.2019.2929964WikidataQ127448597 ScholiaQ127448597MaRDI QIDQ5238992

Solomiia Dmytriv, Nestor Parolya, Taras Bodnar, 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)

Related Items (9)

Bayesian portfolio selection using VaR and CVaR ⋮ 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 ⋮ Bayesian inference of the multi-period optimal portfolio for an exponential utility ⋮ Quantile-based optimal portfolio selection ⋮ Recent advances in shrinkage-based high-dimensional inference

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