Positive-definite modification of a covariance matrix by minimizing the matrix \(\ell_{\infty}\) norm with applications to portfolio optimization
DOI10.1007/s10182-021-00396-7zbMath1478.62118OpenAlexW3139118250MaRDI QIDQ2068898
Johan Lim, Shota Katayama, Seonghun Cho, Young-Geun Choi
Publication date: 20 January 2022
Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10182-021-00396-7
positive definitenesslinear shrinkageminimum variance portfoliohigh-dimensional covariance matrixmatrix \(\ell_{\infty }\) normregularized covariance matrix estimator
Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Uses Software
Cites Work
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