A new procedure for resampled portfolio with shrinkaged covariance matrix

DOI10.1080/02664763.2019.1648394OpenAlexW2966582297WikidataQ127404735 ScholiaQ127404735MaRDI QIDQ5037046

Mian Huang, Shangbing Yu

Publication date: 25 February 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2019.1648394

zbMATH Keywords

shrinkage estimationportfolio optimizationestimation errorresampled efficiencyactive management

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Applications of statistics (62Pxx)

Cites Work

• Bagging predictors
• A well-conditioned estimator for large-dimensional covariance matrices
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• A theoretical foundation of portfolio resampling
• Portfolio Choice and Estimation Risk. A Comparison of Bayesian to Heuristic Approaches
• Estimation for Markowitz Efficient Portfolios
• Shrinkage Algorithms for MMSE Covariance Estimation

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