High-dimensional minimum variance portfolio estimation based on high-frequency data
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Publication:2294454
DOI10.1016/j.jeconom.2019.04.039zbMath1456.62242OpenAlexW2953381952WikidataQ127283236 ScholiaQ127283236MaRDI QIDQ2294454
Publication date: 11 February 2020
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.04.039
Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Related Items (11)
High dimensional minimum variance portfolio estimation under statistical factor models ⋮ Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions ⋮ Large-scale minimum variance portfolio allocation using double regularization ⋮ High-Dimensional Portfolio Selection with Cardinality Constraints ⋮ Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data ⋮ Time-varying minimum variance portfolio ⋮ High-dimensional estimation of quadratic variation based on penalized realized variance ⋮ Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices ⋮ Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property ⋮ Recent advances in shrinkage-based high-dimensional inference ⋮ On the mean and variance of the estimated tangency portfolio weights for small samples
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