High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: Risk underestimation

13 November 2012

Papers citing "High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: Risk underestimation"

23 / 23 papers shown

Title
A Pluggable Common Sense-Enhanced Framework for Knowledge Graph Completion Guanglin Niu Bo Li Siling Feng 33 0 0 06 Oct 2024
Consistent Estimation of the High-Dimensional Efficient Frontier Taras Bodnar Nikolaus Hautsch Yarema Okhrin Nestor Parolya 25 0 0 23 Sep 2024
Ensemble linear interpolators: The role of ensembling Mingqi Wu Qiang Sun 25 2 0 06 Sep 2023
Robustifying Markowitz W. Hardle Yegor Klochkov Alla Petukhina Nikita Zhivotovskiy 19 7 0 28 Dec 2022
LoCoV: low dimension covariance voting algorithm for portfolio optimization Juntao Duan Ionel Popescu 14 0 0 01 Apr 2022
Bayesian Nonlinear Models for Repeated Measurement Data: An Overview, Implementation, and Applications Se Yoon Lee 19 18 0 28 Jan 2022
Optimal estimation of functionals of high-dimensional mean and covariance matrix Jianqing Fan Haolei Weng Yifeng Zhou 32 7 0 20 Aug 2019
Certifiably Optimal Sparse Inverse Covariance Estimation Dimitris Bertsimas Jourdain Lamperski J. Pauphilet 22 13 0 25 Jun 2019
Optimal Covariance Estimation for Condition Number Loss in the Spiked Model D. Donoho Behrooz Ghorbani 103 7 0 17 Oct 2018
The Dispersion Bias L. Goldberg A. Papanicolaou Alexander D. Shkolnik 26 15 0 15 Nov 2017
On the dimension effect of regularized linear discriminant analysis Cheng-Long Wang Binyan Jiang 20 15 0 09 Oct 2017
Which bridge estimator is optimal for variable selection? Shuaiwen Wang Haolei Weng A. Maleki 17 17 0 24 May 2017
Asymptotics For High Dimensional Regression M-Estimates: Fixed Design Results Lihua Lei Peter J. Bickel N. Karoui 26 39 0 19 Dec 2016
A Nodewise Regression Approach to Estimating Large Portfolios Laurent Callot Mehmet Caner Esra Ulaşan A. Onder 23 2 0 22 Nov 2016
Optimal shrinkage-based portfolio selection in high dimensions Taras Bodnar Yarema Okhrin Nestor Parolya 17 43 0 07 Nov 2016
Cleaning large correlation matrices: tools from random matrix theory J. Bun J. Bouchaud M. Potters 32 262 0 25 Oct 2016
Can we trust the bootstrap in high-dimension? N. Karoui E. Purdom 35 24 0 02 Aug 2016
On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations Ningning Xia Xinghua Zheng 14 13 0 13 Apr 2016
Regularized estimation of linear functionals of precision matrices for high-dimensional time series Xiaohui Chen Mengyu Xu Wei Biao Wu 40 25 0 11 Jun 2015
On the inference about the spectra of high-dimensional covariance matrix based on noisy observations-with applications to integrated covolatility matrix inference in the presence of microstructure noise Ningning Xia Xinghua Zheng 21 7 0 07 Sep 2014
Estimation of the Global Minimum Variance Portfolio in High Dimensions Taras Bodnar Nestor Parolya W. Schmid 31 81 0 02 Jun 2014
Preconditioning to comply with the Irrepresentable Condition Jinzhu Jia Karl Rohe 41 25 0 28 Aug 2012
Geometric sensitivity of random matrix results: consequences for shrinkage estimators of covariance and related statistical methods N. Karoui Holger Koesters 38 30 0 07 May 2011