Optimal shrinkage-based portfolio selection in high dimensions

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Optimal shrinkage-based portfolio selection in high dimensions

7 November 2016

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Papers citing "Optimal shrinkage-based portfolio selection in high dimensions"

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Title
A Pluggable Common Sense-Enhanced Framework for Knowledge Graph Completion Guanglin Niu Bo Li Siling Feng 54 0 0 06 Oct 2024
Consistent Estimation of the High-Dimensional Efficient Frontier Taras Bodnar Nikolaus Hautsch Yarema Okhrin Nestor Parolya 45 0 0 23 Sep 2024
Reviving pseudo-inverses: Asymptotic properties of large dimensional Moore-Penrose and Ridge-type inverses with applications Taras Bodnar Nestor Parolya 70 0 0 23 Mar 2024
Linear shrinkage for optimization in high dimensions Naqi Huang Nestor Parolya Thereisa van Essen 60 0 0 28 Feb 2024
Two is better than one: Regularized shrinkage of large minimum variance portfolio Taras Bodnar Nestor Parolya Erik Thorsén 77 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 Estimator for High-Dimensional Mean Vector Taras Bodnar Ostap Okhrin Nestor Parolya 38 24 0 28 Oct 2016