A Synthetic Regression Model for Large Portfolio Allocation
From MaRDI portal
Publication:6620982
DOI10.1080/07350015.2021.1961787zbMATH Open1547.62825MaRDI QIDQ6620982
Jin Yang, Wenyang Zhang, Gaorong Li, Lei Huang
Publication date: 17 October 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Cites Work
- A well-conditioned estimator for large-dimensional covariance matrices
- Nonparametric eigenvalue-regularized precision or covariance matrix estimator
- High dimensional covariance matrix estimation using a factor model
- Minimax bounds for sparse PCA with noisy high-dimensional data
- Optimal detection of sparse principal components in high dimension
- High-dimensional covariance matrix estimation in approximate factor models
- Covariance regularization by thresholding
- Operator norm consistent estimation of large-dimensional sparse covariance matrices
- Lasso-type recovery of sparse representations for high-dimensional data
- Simultaneous analysis of Lasso and Dantzig selector
- High-dimensional generalized linear models and the lasso
- Sparsity oracle inequalities for the Lasso
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
- Estimation of the covariance matrix of random effects in longitudinal studies
- Regularized estimation of large covariance matrices
- Restricted eigenvalue properties for correlated Gaussian designs
- High dimensional inverse covariance matrix estimation via linear programming
- Sparse and stable Markowitz portfolios
- Jackknife Estimator for Tracking Error Variance of Optimal Portfolios
- Generalized Thresholding of Large Covariance Matrices
- Robust estimation of high-dimensional covariance and precision matrices
- Common risk factors in the returns on stocks and bonds
- Large Covariance Estimation by Thresholding Principal Orthogonal Complements
Related Items (1)
This page was built for publication: A Synthetic Regression Model for Large Portfolio Allocation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6620982)