Pages that link to "Item:Q620558"
From MaRDI portal
The following pages link to High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation (Q620558):
Displaying 33 items.
- Estimation of the global minimum variance portfolio in high dimensions (Q90168) (← links)
- Effects of unlabeled data on classification error in normal discriminant analysis (Q389294) (← links)
- Risks of large portfolios (Q494174) (← links)
- Cleaning large correlation matrices: tools from random matrix theory (Q521794) (← links)
- On the impact of predictor geometry on the performance on high-dimensional ridge-regularized generalized robust regression estimators (Q681518) (← links)
- Asymptotics for high dimensional regression \(M\)-estimates: fixed design results (Q1626624) (← links)
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data (Q1676387) (← links)
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations (Q1750277) (← links)
- On the dimension effect of regularized linear discriminant analysis (Q1786573) (← links)
- Sparse portfolio selection via Bayesian multiple testing (Q2061782) (← links)
- Network models to improve robot advisory portfolios (Q2151657) (← links)
- Certifiably optimal sparse inverse covariance estimation (Q2205987) (← links)
- Which bridge estimator is the best for variable selection? (Q2215760) (← links)
- CUSUM control charts for monitoring optimal portfolio weights (Q2275651) (← links)
- Random matrix theory in statistics: a review (Q2453609) (← links)
- Non-parametric shrinkage mean estimation for quadratic loss functions with unknown covariance matrices (Q2637612) (← links)
- High dimensional minimum variance portfolio estimation under statistical factor models (Q2658801) (← links)
- Statistical Inference for High-Dimensional Global Minimum Variance Portfolios (Q2932763) (← links)
- Resolution of Degeneracy in Merton's Portfolio Problem (Q2953941) (← links)
- On robust regression with high-dimensional predictors (Q2962135) (← links)
- Can we trust the bootstrap in high-dimension? (Q4558141) (← links)
- On the Spectrum of Sample Covariance Matrices for Time Series (Q4580422) (← links)
- A nested factor model for non-linear dependencies in stock returns (Q4619483) (← links)
- Positive-Definite ℓ<sub>1</sub>-Penalized Estimation of Large Covariance Matrices (Q4904725) (← links)
- The Benefits of Diversification Between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction (Q5057286) (← links)
- The Dispersion Bias (Q5080131) (← links)
- High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators (Q5107390) (← links)
- Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor (Q5250044) (← links)
- Time-varying minimum variance portfolio (Q6150513) (← links)
- Robustifying Markowitz (Q6150519) (← links)
- Optimal Shrinkage-Based Portfolio Selection in High Dimensions (Q6586894) (← links)
- A Nodewise Regression Approach to Estimating Large Portfolios (Q6617775) (← links)
- On the Combination of Naive and Mean-Variance Portfolio Strategies (Q6626255) (← links)
