Search Results - subject:"covariance matrix"

Eigen-analysis for high-dimensional time series clustering

Zhang, Bo; Gao, Jiti; Pan, Guangming; Yang, Yanrong - 2023

Persistent link: https://www.econbiz.de/10014452611

The role of uncertainty in forecasting realized covariance of US state-level stock returns : a reverse-MIDAS approach

Luo, Jiawen; Fu, Shengjie; Cepni, Oguzhan; Gupta, Rangan - 2025

Persistent link: https://www.econbiz.de/10015195194

Enhancing high-dimensional dynamic conditional angular correlation model based on GARCH family models : comparative performance analysis for portfolio optimization

Sun, Zhangshuang; Gao, Xuerui; Luo, Kangyang; Bai, Yanqin; … - In: Finance research letters 75 (2025), pp. 1-18

Persistent link: https://www.econbiz.de/10015407281

Markowitz portfolios under transaction costs

Ledoit, Olivier; Wolf, Michael - 2022

Markowitz portfolio selection is a cornerstone in finance, both in academia and in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii)...

Persistent link: https://www.econbiz.de/10013441507

The performance of shrinkage estimator for stock portfolio selection in case of high dimensionality

Thalassinos, Eleftherios - In: Journal of Risk and Financial Management 15 (2022) 6, pp. 1-12

of covariance matrix input. This leads the selected portfolio from MPT model to change the status continuously and to … suffer the high cost of transaction. The traditional estimator of the covariance matrix has not solved this limitation yet … feasible application of the shrinkage estimator of the covariance matrix, which is expected to encourage the investors focusing …

Persistent link: https://www.econbiz.de/10014332450