A nodewise regression approach to estimating large portfolios
Laurent Callot, Mehmet Caner, A. Özlem Önder, and Esra Ulaşan
| Year of publication: |
2021
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|---|---|
| Authors: | Callot, Laurent ; Caner, Mehmet ; Özlem Önder, A. ; Ulaşan, Esra |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 39.2021, 2, p. 520-531
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| Subject: | High-dimensionality | Penalized regression | Portfolio optimization | Precision matrix | Regressionsanalyse | Regression analysis | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2019.1683018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012499096