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ECONIS (ZBW)
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1
Portfolio selection with a rank-deficient
covariance
matrix
Gulliksson, Mårten
;
Oleynik, Anna
;
Mazur, Stepan
- In:
Computational economics
63
(
2024
)
6
,
pp. 2247-2269
Persistent link: https://www.econbiz.de/10014636734
Saved in:
2
Cross validation based transfer learning for cross-sectional non-linear shrinkage : a data-driven approach in portfolio optimization
Mörstedt, Torsten
;
Lutz, Bernhard
;
Neumann, Dirk
- In:
European journal of operational research : EJOR
318
(
2024
)
2
,
pp. 670-685
Persistent link: https://www.econbiz.de/10015048040
Saved in:
3
Outlier-robust methods for forecasting realized
covariance
matrices
Li, Dan
;
Drovandi, Christopher
;
Clements, Adam
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
Saved in:
4
An enhanced factor model for portfolio selection in high dimensions
Shi, Fangquan
;
Shu, Lianjie
;
Gu, Xinhua
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 94-118
Persistent link: https://www.econbiz.de/10014526307
Saved in:
5
Dynamic
covariance
matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
6
Forecasting large realized
covariance
matrices : the benefits of factor models and shrinkage
Alves, Rafael P.
;
Brito, Diego S. de
;
Medeiros, Marcelo C.
- In:
Journal of financial econometrics
22
(
2024
)
3
,
pp. 696-742
Persistent link: https://www.econbiz.de/10015045177
Saved in:
7
An eigenvalue distribution derived "Stability Measure" for evaluating Minimum Variance portfolios
Smyth, William
;
Broby, Daniel
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 521-537
Persistent link: https://www.econbiz.de/10014232686
Saved in:
8
Optimal shrinkage-based portfolio selection in high dimensions
Bodnar, Taras
;
Okhrin, Yarema
;
Parolya, Nestor
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 140-156
Persistent link: https://www.econbiz.de/10013540653
Saved in:
9
Portfolio selection with a rank-deficient
covariance
matrix
Gulliksson, Mårten
;
Oleynik, Anna
;
Mazur, Stepan
-
2021
Persistent link: https://www.econbiz.de/10012605415
Saved in:
10
Forecasting conditional
covariance
matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 40-52
Persistent link: https://www.econbiz.de/10013540629
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