The power of (non-)linear shrinking: a review and guide to covariance matrix estimation
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- Pier Francesco Procacci & Tomaso Aste, 2021. "Portfolio Optimization with Sparse Multivariate Modelling," Papers 2103.15232, arXiv.org.
- Ortiz, Roberto & Contreras, Mauricio & Mellado, Cristhian, 2023. "Regression, multicollinearity and Markowitz," Finance Research Letters, Elsevier, vol. 58(PC).
- Simon Hediger & Jeffrey Näf & Marc S. Paolella & Paweł Polak, 2023. "Heterogeneous tail generalized common factor modeling," Digital Finance, Springer, vol. 5(2), pages 389-420, June.
- Pier Francesco Procacci & Tomaso Aste, 2022. "Portfolio optimization with sparse multivariate modeling," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 445-465, October.
- Sylvia Frühwirth-Schnatter & Darjus Hosszejni & Hedibert Freitas Lopes, 2023.
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- Sylvia Fruhwirth-Schnatter & Darjus Hosszejni & Hedibert Freitas Lopes, 2023. "When it counts -- Econometric identification of the basic factor model based on GLT structures," Papers 2301.06354, arXiv.org.
- Alexandru V. Asimit & Ioannis Kyriakou & Simone Santoni & Salvatore Scognamiglio & Rui Zhu, 2022. "Robust Classification via Support Vector Machines," Risks, MDPI, vol. 10(8), pages 1-25, August.
- Ruslan Tepelyan & Achintya Gopal, 2023. "Generative Machine Learning for Multivariate Equity Returns," Papers 2311.14735, arXiv.org.
- Khashanah, Khaldoun & Simaan, Majeed & Simaan, Yusif, 2022. "Do we need higher-order comoments to enhance mean-variance portfolios? Evidence from a simplified jump process," International Review of Financial Analysis, Elsevier, vol. 81(C).
- Damir Filipovic & Paul Schneider, 2024. "Fundamental properties of linear factor models," Papers 2409.02521, arXiv.org, revised Oct 2024.
- Andrew Grant & Oh Kang Kwon & Steve Satchell, 2024. "Properties of risk aversion estimated from portfolio weights," Journal of Asset Management, Palgrave Macmillan, vol. 25(5), pages 427-444, September.
- Benoit Oriol & Alexandre Miot, 2023. "Ledoit-Wolf linear shrinkage with unknown mean," Papers 2304.07045, arXiv.org.
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More about this item
Keywords
Dynamic conditional correlations; factor models; large-dimensional asymptotics; Markowitz portfolio selection; rotation equivariance;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2019-05-13 (Econometrics)
- NEP-ETS-2019-05-13 (Econometric Time Series)
- NEP-ORE-2019-05-13 (Operations Research)
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