Estimation of the global minimum variance portfolio in high dimensions

DOI10.1016/j.ejor.2017.09.028zbMath1403.91307arXiv1406.0437OpenAlexW2963070656MaRDI QIDQ90168

Taras Bodnar, Nestor Parolya, Wolfgang Schmid, Nestor Parolya, Taras Bodnar

Publication date: April 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.0437

zbMATH Keywords

random matrix theoryfinancelarge-dimensional asymptoticscovariance matrix estimationglobal minimum variance portfolio

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Uses Software

• R
• MASS (R)

Cites Work

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