Portfolio selection: shrinking the time-varying inverse conditional covariance matrix

DOI10.1007/s00362-018-1059-0zbMath1467.62179OpenAlexW2901680230MaRDI QIDQ2029222

Shuangzhe Liu, Ruili Sun, Tie-Feng Ma

Publication date: 3 June 2021

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-018-1059-0

zbMATH Keywords

portfolio selectionshrinkagetime-varyinginverse conditional covariance matrix

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

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• Mean-variance portfolios using Bayesian vector-autoregressive forcasts
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• Estimation for Markowitz Efficient Portfolios

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