Pages that link to "Item:Q3650926"

The following pages link to ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY (Q3650926):

Displaying 45 items.

• On two simple and effective procedures for high dimensional classification of general populations (Q284189) (← links)
• Semicircle law of Tyler's \(M\)-estimator for scatter (Q433584) (← links)
• On the estimation of integrated covariance matrices of high dimensional diffusion processes (Q449988) (← links)
• High dimensional mean-variance optimization through factor analysis (Q476227) (← links)
• The mean-variance ratio test -- a complement to the coefficient of variation test and the Sharpe ratio test (Q553013) (← links)
• High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation (Q620558) (← links)
• Transposed Markov matrix as a new decision tool of how to choose among competing investment options in academic medicine (Q634386) (← links)
• Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models (Q641782) (← links)
• Convergence rates to the Marchenko-Pastur type distribution (Q655317) (← links)
• Asymptotic properties of eigenmatrices of a large sample covariance matrix (Q655590) (← links)
• Cluster analysis for portfolio optimization (Q844576) (← links)
• Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR (Q992696) (← links)
• Gains from diversification on convex combinations: a majorization and stochastic dominance approach (Q1044121) (← links)
• On the dimension effect of regularized linear discriminant analysis (Q1786573) (← links)
• An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment (Q1926915) (← links)
• Segregation and integration: a study of the behaviors of investors with extended value functions (Q1958417) (← links)
• Amalgamated free Lévy processes as limits of sample covariance matrices (Q2099993) (← links)
• Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it (Q2140218) (← links)
• A mental account-based portfolio selection model with an application for data with smaller dimensions (Q2147082) (← links)
• Network models to improve robot advisory portfolios (Q2151657) (← links)
• A risk perspective of estimating portfolio weights of the global minimum-variance portfolio (Q2176327) (← links)
• Portfolio construction using bootstrapping neural networks: evidence from global stock market (Q2211012) (← links)
• On the market price of risk (Q2230759) (← links)
• Portfolio selection based on Bayesian theory (Q2298422) (← links)
• Improved estimation of optimal portfolio with an application to the US stock market (Q2301211) (← links)
• High dimensional minimum variance portfolio estimation under statistical factor models (Q2658801) (← links)
• Shrinkage estimation of mean-variance portfolio (Q2797873) (← links)
• Multivariate stochastic dominance for risk averters and risk seekers (Q2826666) (← links)
• The effect of estimation in high-dimensional portfolios (Q2847243) (← links)
• On Estimating the Integrated Co-Volatility Using Noisy High-Frequency Data with Jumps (Q2864671) (← links)
• Extension of the random matrix theory to the L-moments for robust portfolio selection (Q2871418) (← links)
• The optimal portfolio with a modified covariance matrix using the clustering method (Q2924715) (← links)
• Statistical Inference for High-Dimensional Global Minimum Variance Portfolios (Q2932763) (← links)
• Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model (Q3004474) (← links)
• Test statistics for prospect and Markowitz stochastic dominances with applications (Q3018506) (← links)
• Optimal Portfolio Selection Using Maximum Entropy Estimation Accounting for the Firm Specific Characteristics (Q4558848) (← links)
• Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China (Q4683105) (← links)
• Random matrix models for datasets with fixed time horizons (Q4991056) (← links)
• The Benefits of Diversification Between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction (Q5057286) (← links)
• High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators (Q5107390) (← links)
• MARKOWITZ PORTFOLIO AND THE BLUR OF HISTORY (Q5147995) (← links)
• (Q5399846) (← links)
• Time-varying minimum variance portfolio (Q6150513) (← links)
• Robustifying Markowitz (Q6150519) (← links)
• The eigenvector LSD of information plus noise matrices and its application to linear regression model (Q6165366) (← links)