Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
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Publication:6602369
Cites work
- scientific article; zbMATH DE number 3886886 (Why is no real title available?)
- scientific article; zbMATH DE number 3122730 (Why is no real title available?)
- scientific article; zbMATH DE number 1250597 (Why is no real title available?)
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- Direct shrinkage estimation of large dimensional precision matrix
- Distributional properties of portfolio weights
- Dominating estimators for minimum-variance portfolios
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- Estimation of the global minimum variance portfolio in high dimensions
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- Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
- Flexible shrinkage in portfolio selection
- High dimensional covariance matrix estimation using a factor model
- High dimensional minimum variance portfolio estimation under statistical factor models
- High-dimensional covariance matrix estimation
- High-dimensional covariance matrix estimation in approximate factor models
- High-dimensional minimum variance portfolio estimation based on high-frequency data
- High-dimensional multivariate realized volatility estimation
- Improved Calibration of High-Dimensional Precision Matrices
- Jackknife Estimator for Tracking Error Variance of Optimal Portfolios
- Large Dynamic Covariance Matrices
- Linear statistical inference for global and local minimum variance portfolios
- Market truths: theory versus empirical simulations
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- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- On the application of new tests for structural changes on global minimum-variance portfolios
- On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix
- Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
- Shrinkage Algorithms for MMSE Covariance Estimation
- Singular inverse Wishart distribution and its application to portfolio theory
- Sparse and stable Markowitz portfolios
- Statistical inference for high-dimensional global minimum variance portfolios
- Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting
- The conditional autoregressive Wishart model for multivariate stock market volatility
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
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