Dominating estimators for minimum-variance portfolios
DOI10.1016/J.JECONOM.2010.07.007zbMATH Open1441.62264OpenAlexW1999409144MaRDI QIDQ737248FDOQ737248
Authors: Gabriel Frahm, Christoph Memmel 
Publication date: 10 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.07.007
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covariance matrix estimationshrinkage estimatorStein estimationminimum-variance portfolionaive diversification
Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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- The impact of bootstrap methods on time series analysis
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- Stein estimation under elliptical distributions
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Cited In (35)
- Multiple tests for the performance of different investment strategies
- Asset allocation with correlation: a composite trade-off
- Statistical inference for high-dimensional global minimum variance portfolios
- A risk perspective of estimating portfolio weights of the global minimum-variance portfolio
- Optimal portfolio choice: a minimum expected loss approach
- Liquidity risk and instabilities in portfolio optimization
- On the equivalence of quadratic optimization problems commonly used in portfolio theory
- Regularized factor portfolio for cross-sectional multifactor models
- Shrinkage estimation of mean-variance portfolio
- Replica approach to mean-variance portfolio optimization
- Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
- Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
- Portfolio construction by mitigating error amplification: the bounded-noise portfolio
- How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality
- A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
- On the market price of risk
- Bagged Pretested Portfolio Selection
- Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property
- Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
- Zur optimalen schätzung des strukturparameters eines kollektivs einander ähnlicher kleiner bestände
- Analytic solution to variance optimization with no short positions
- Solving norm constrained portfolio optimization via coordinate-wise descent algorithms
- Recent advances in shrinkage-based high-dimensional inference
- Estimation of the global minimum variance portfolio in high dimensions
- Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data
- D-trace estimation of a precision matrix using adaptive lasso penalties
- On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix
- A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
- A theoretical foundation of portfolio resampling
- Statistical properties of estimators for the log-optimal portfolio
- The distribution of the sample minimum-variance frontier
- Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data
- Precision matrix estimation under data contamination with an application to minimum variance portfolio selection
- Optimal Shrinkage-Based Portfolio Selection in High Dimensions
- Portfolio optimization under expected shortfall: contour maps of estimation error
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