Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio

3 June 2021

Papers citing "Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio"

10 / 10 papers shown

Title
Statistical inference for the EU portfolio in high dimensions Taras Bodnar Solomiia Dmytriv Yarema Okhrin Nestor Parolya W. Schmid 9 14 0 10 May 2020
Spectral analysis of large reflexive generalized inverse and Moore-Penrose inverse matrices Taras Bodnar Nestor Parolya 14 2 0 27 Apr 2020
Tests for the weights of the global minimum variance portfolio in a high-dimensional setting Taras Bodnar Solomiia Dmytriv Nestor Parolya W. Schmid 18 25 0 26 Oct 2017
Optimal shrinkage-based portfolio selection in high dimensions Taras Bodnar Yarema Okhrin Nestor Parolya 41 45 0 07 Nov 2016
Optimal Shrinkage Estimator for High-Dimensional Mean Vector Taras Bodnar Ostap Okhrin Nestor Parolya 30 24 0 28 Oct 2016
Estimation of the Global Minimum Variance Portfolio in High Dimensions Taras Bodnar Nestor Parolya W. Schmid 57 83 0 02 Jun 2014
On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix Taras Bodnar Arjun K. Gupta Nestor Parolya 49 48 0 12 Aug 2013
Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix Taras Bodnar Arjun K. Gupta Nestor Parolya 122 52 0 05 Aug 2013
Improved multivariate normal mean estimation with unknown covariance when p is greater than n Didier Chételat M. Wells 37 24 0 27 Feb 2013
Large Covariance Estimation by Thresholding Principal Orthogonal Complements Jianqing Fan Yuan Liao Martina Mincheva 128 854 0 30 Dec 2011