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Two is better than one: Regularized shrinkage of large minimum variance portfolio

Two is better than one: Regularized shrinkage of large minimum variance portfolio

Taras Bodnar
Nestor Parolya
Erik Thorsén
ArXiv (abs)PDFHTML

Papers citing "Two is better than one: Regularized shrinkage of large minimum variance portfolio"

4 / 4 papers shown
Title
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio
Taras Bodnar
Nestor Parolya
Erik Thorsén
30
5
0
03 Jun 2021
Optimal shrinkage-based portfolio selection in high dimensions
Optimal shrinkage-based portfolio selection in high dimensions
Taras Bodnar
Yarema Okhrin
Nestor Parolya
54
46
0
07 Nov 2016
Estimation of the Global Minimum Variance Portfolio in High Dimensions
Estimation of the Global Minimum Variance Portfolio in High Dimensions
Taras Bodnar
Nestor Parolya
W. Schmid
71
84
0
02 Jun 2014
On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix
On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix
Taras Bodnar
Arjun K. Gupta
Nestor Parolya
70
48
0
12 Aug 2013

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