Search Results - subject:"Inverse covariance matrix"

Disentangling the role of variance and covariance information in portfolio selection problems

Santos, André A. P. - In: Quantitative finance 19 (2019) 1, pp. 57-76

Persistent link: https://www.econbiz.de/10012194620

Improving the graphical lasso estimation for the precision matrix through roots ot the sample convariance matrix

Avagyan, Vahe; Alonso, Andrés M.; Nogales, Francisco J. - Departamento de Estadistica, Universidad Carlos III de … - 2014

In this paper, we focus on the estimation of a high-dimensional precision matrix. We propose a simple improvement of the graphical lasso framework (glasso) that is able to attain better statistical performance without sacrificing too much the computational cost. The proposed improvement is based...

Persistent link: https://www.econbiz.de/10010861866

Estimating Individual Mahalanobis Distance in High-Dimensional Data

Dai, Deliang; Holgersson, Thomas; Karlsson, Peter - Centre of Excellence for Science and Innovation … - 2014

covariance matrix on which the MD depends. This is then used to identify the optimal estimate of the inverse covariance matrix … biased corrected versions are available. Moreover, a risk function is derived for finding an optimal estimate of the inverse …

Persistent link: https://www.econbiz.de/10011019085

Analysing the information embedded in the optimal mean-variance weights : CAPM versus Bamberg and Dorfleitner model

Bosch-Badia, Maria-Teresa; Montllor i Serrats, Joan; … - In: Review of managerial science 11 (2017) 4, pp. 789-814

Persistent link: https://www.econbiz.de/10011722001

On the weight sign of the global minimum variance portfolio

Chiu, Wan-Yi; Jiang, Ching-hai - In: Finance research letters 19 (2016), pp. 241-246

Persistent link: https://www.econbiz.de/10011657693

An Investigation and Development of Three Estimators of Inverse Covariance Matrices with Applications to the Mahalanobis Distance

Holgersson, Thomas; Karlsson, Peter - Internationella Handelshögskolan, Högskolan i Jönköping - 2010

This paper treats the problem of estimating the inverse covariance matrix in an increasing dimension context …

Persistent link: https://www.econbiz.de/10008833350

Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix

Kourtis, Apostolos; Dotsis, George; Markellos, Raphael N. - In: Journal of Banking & Finance 36 (2012) 9, pp. 2522-2531

The estimation of the inverse covariance matrix plays a crucial role in optimal portfolio choice. We propose a new … shrinkage directly to the inverse covariance matrix using two non-parametric methods. The first minimises the out …

Persistent link: https://www.econbiz.de/10010599648