Positive-definite modification of a covariance matrix by minimizing the matrix \(\ell_{\infty}\) norm with applications to portfolio optimization
type: Item
instance of: scholarly article
title: Positive-definite modification of a covariance matrix by minimizing the matrix \(\ell_{\infty}\) norm with applications to portfolio optimization
zbMATH Open document ID: 1478.62118
author: Seonghun Cho
author: Shota Katayama
author: Johan Lim
author: Young-Geun Choi
published in: AStA. Advances in Statistical Analysis
publication date: 2022-01-20T00:00:00Z
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 7460358
zbMATH Keywords: high-dimensional covariance matrix
zbMATH Keywords: linear shrinkage
zbMATH Keywords: matrix \(\ell_{\infty }\) norm
zbMATH Keywords: minimum variance portfolio
zbMATH Keywords: positive definiteness
zbMATH Keywords: regularized covariance matrix estimator
describes a project that uses: QuEST
MaRDI profile type: Publication
full work available at URL: s10182-021-00396-7
OpenAlex ID: W3139118250
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cites work: Numerical implementation of the QuEST function
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DOI: 10.1007/S10182-021-00396-7
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description: scientific article; zbMATH DE number 7460358