Estimation of the Global Minimum Variance Portfolio in High Dimensions

v1v2 (latest)

Estimation of the Global Minimum Variance Portfolio in High Dimensions

2 June 2014

ArXiv (abs)PDF HTML

Papers citing "Estimation of the Global Minimum Variance Portfolio in High Dimensions"

6 / 6 papers shown

Title
A Pluggable Common Sense-Enhanced Framework for Knowledge Graph Completion Guanglin Niu Bo Li Siling Feng 54 0 0 06 Oct 2024
Two is better than one: Regularized shrinkage of large minimum variance portfolio Taras Bodnar Nestor Parolya Erik Thorsén 79 4 0 14 Feb 2022
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio Taras Bodnar Nestor Parolya Erik Thorsén 42 5 0 03 Jun 2021
Statistical inference for the EU portfolio in high dimensions Taras Bodnar Solomiia Dmytriv Yarema Okhrin Nestor Parolya W. Schmid 19 14 0 10 May 2020
Tests for the weights of the global minimum variance portfolio in a high-dimensional setting Taras Bodnar Solomiia Dmytriv Nestor Parolya W. Schmid 39 25 0 26 Oct 2017
Optimal shrinkage-based portfolio selection in high dimensions Taras Bodnar Yarema Okhrin Nestor Parolya 80 46 0 07 Nov 2016