Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
Taras Bodnar, Nestor Parolya, Erik Thorsén
| Year of publication: |
2023
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|---|---|
| Authors: | Bodnar, Taras ; Parolya, Nestor ; Thorsén, Erik |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 54.2023, p. 1-11
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| Subject: | High-dimensional covariance matrix | Minimum variance portfolio | Parameter uncertainty | Random matrix theory | Shrinkage estimator | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Korrelation | Correlation | Lineare Algebra | Linear algebra | Risiko | Risk | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.103807 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014472777