Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS

DOI10.1080/14697688.2024.2372053MaRDI QIDQ6657696

Damien Challet, Christian Bongiorno

Publication date: 6 January 2025

Published in: Quantitative Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

Cites Work

• Cleaning large correlation matrices: tools from random matrix theory
• Quadratic shrinkage for large covariance matrices
• Theory of Financial Risk and Derivative Pricing
• Filtering time-dependent covariance matrices using time-independent eigenvalues
• Large Dynamic Covariance Matrices

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