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  • Search: subject:"linear shrinkage"
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Year of publication
Subject
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Estimation theory 6 Portfolio selection 6 Portfolio-Management 6 Schätztheorie 6 Correlation 4 Korrelation 4 Portfolio optimization 4 Non-linear shrinkage 3 Analysis of variance 2 Estimation 2 Forecasting model 2 Linear shrinkage 2 Portfolio allocation 2 Prognoseverfahren 2 Schätzung 2 Varianzanalyse 2 factor models 2 high dimensions 2 linear and non-linear shrinkage 2 Artificial intelligence 1 Average Oracle 1 CAPM 1 Capital income 1 Covariance estimation 1 Covariance filtering 1 Covariance matrix 1 Covariance matrix filtering 1 Data-driven approach 1 Dynamical conditional covariance 1 Factor analysis 1 Faktorenanalyse 1 Finance 1 Hedging 1 High dimension 1 Inflation 1 Kapitaleinkommen 1 Künstliche Intelligenz 1 Linear algebra 1 Lineare Algebra 1 Mathematical programming 1
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Online availability
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Free 5 Undetermined 3
Type of publication
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Article 5 Book / Working Paper 3
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4 Working Paper 3 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2
Language
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English 7 Undetermined 1
Author
All
Bongiorno, Christian 2 Challet, Damien 2 Lucas, André 2 Beck, Elliot 1 Couillet, Romain 1 He, Fangyi 1 Huang, Wenpo 1 Lutz, Bernhard 1 McKay, Matthew 1 Mörstedt, Torsten 1 Neumann, Dirk 1 Shi, Fangquan 1 Shu, Lianjie 1 Vlodrop, Andries C. van 1 Wolf, Michael 1 van Vlodrop, Andries C. 1
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Published in...
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Discussion paper / Tinbergen Institute 1 Economic modelling 1 European journal of operational research : EJOR 1 Finance research letters 1 Journal of Multivariate Analysis 1 Quantitative finance 1 SNB working papers 1 Tinbergen Institute Discussion Paper 1
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Source
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ECONIS (ZBW) 6 EconStor 1 RePEc 1
Showing 1 - 8 of 8
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Forecasting inflation with the hedged random forest
Beck, Elliot; Wolf, Michael - 2025
Persistent link: https://www.econbiz.de/10015437163
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Improving minimum-variance portfolio through shrinkage of large covariance matrices
Shi, Fangquan; Shu, Lianjie; He, Fangyi; Huang, Wenpo - In: Economic modelling 144 (2025), pp. 1-16
Persistent link: https://www.econbiz.de/10015193796
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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
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Covariance matrix filtering and portfolio optimisation : the average oracle vs non-linear shrinkage and all the variants of DCC-NLS
Bongiorno, Christian; Challet, Damien - In: Quantitative finance 24 (2024) 9, pp. 1227-1234
Persistent link: https://www.econbiz.de/10015196881
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Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization
Bongiorno, Christian; Challet, Damien - In: Finance research letters 52 (2023), pp. 1-5
Persistent link: https://www.econbiz.de/10014472232
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Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models
van Vlodrop, Andries C.; Lucas, André - 2018
about estimation risk in FFMs in high dimensions. We investigate whether recent linear and non-linear shrinkage methods help …
Persistent link: https://www.econbiz.de/10012114751
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Estimation risk and shrinkage in vast-dimensional fundamental factor models
Vlodrop, Andries C. van; Lucas, André - 2018
about estimation risk in FFMs in high dimensions. We investigate whether recent linear and non-linear shrinkage methods help …
Persistent link: https://www.econbiz.de/10011949129
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Large dimensional analysis and optimization of robust shrinkage covariance matrix estimators
Couillet, Romain; McKay, Matthew - In: Journal of Multivariate Analysis 131 (2014) C, pp. 99-120
This article studies two regularized robust estimators of scatter matrices proposed (and proved to be well defined) in parallel in Chen et al. (2011) and Pascal et al. (2013), based on Tyler’s robust M-estimator (Tyler, 1987) and on Ledoit and Wolf’s shrinkage covariance matrix estimator...
Persistent link: https://www.econbiz.de/10011042062
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