THE EFFECT OF ESTIMATION IN HIGH-DIMENSIONAL PORTFOLIOS
From MaRDI portal
Publication:2847243
DOI10.1111/j.1467-9965.2011.00505.xzbMath1386.91126OpenAlexW2125044430WikidataQ57834980 ScholiaQ57834980MaRDI QIDQ2847243
Axel Gandy, Luitgard Anna Maria Veraart
Publication date: 4 September 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00505.x
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Related Items (7)
A linear programming model for selection of sparse high-dimensional multiperiod portfolios ⋮ Modelling Electricity Futures by Ambit Fields ⋮ Using principal component analysis to estimate a high dimensional factor model with high-frequency data ⋮ Resolution of Degeneracy in Merton's Portfolio Problem ⋮ Risks of large portfolios ⋮ A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection ⋮ Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor
Cites Work
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Further results on asset pricing with incomplete information
- Estimation of the mean of a multivariate normal distribution
- Convex duality in constrained portfolio optimization
- Remarks on deviation inequalities for functions of infinitely divisible random vectors
- Least angle regression. (With discussion)
- Flexible shrinkage in portfolio selection
- Sparse and stable Markowitz portfolios
- A generalized clark representation formula, with application to optimal portfolios
- ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY
- Data Analysis Using Stein's Estimator and its Generalizations
- Essentials of Statistical Inference
- Portfolio optimization with unobservable Markov-modulated drift process
- Portfolio Selection with Transaction Costs
- The relaxed investor and parameter uncertainty
This page was built for publication: THE EFFECT OF ESTIMATION IN HIGH-DIMENSIONAL PORTFOLIOS
