On the Combination of Naive and Mean-Variance Portfolio Strategies

DOI10.1080/07350015.2023.2256801zbMATH Open1547.62811MaRDI QIDQ6626255

Unnamed Author, Frédéric Vrins, Nathan Lassance

Publication date: 28 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Estimation of the global minimum variance portfolio in high dimensions
• The Model Confidence Set
• A well-conditioned estimator for large-dimensional covariance matrices
• High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
• Analytical nonlinear shrinkage of large-dimensional covariance matrices
• On the Realized Risk of High-Dimensional Markowitz Portfolios
• The Distribution of the Sample Minimum-Variance Frontier
• The Stationary Bootstrap
• Optimal Shrinkage-Based Portfolio Selection in High Dimensions

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