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Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation

Author

Listed:
  • Marc Senneret
  • Yannick Malevergne

    (COACTIS - COnception de l'ACTIon en Situation - UL2 - Université Lumière - Lyon 2 - UJM - Université Jean Monnet - Saint-Étienne)

  • Patrice Abry

    (Phys-ENS - Laboratoire de Physique de l'ENS Lyon - ENS de Lyon - École normale supérieure de Lyon - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon - CNRS - Centre National de la Recherche Scientifique)

  • Gerald Perrin
  • Laurent Jaffres

Abstract

No abstract is available for this item.

Suggested Citation

  • Marc Senneret & Yannick Malevergne & Patrice Abry & Gerald Perrin & Laurent Jaffres, 2016. "Covariance Versus Precision Matrix Estimation for Efficient Asset Allocation," Post-Print halshs-03590388, HAL.
    • Handle: RePEc:hal:journl:halshs-03590388
    DOI: 10.1109/JSTSP.2016.2577546
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    Citations

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    Cited by:

    1. Caner, Mehmet & Medeiros, Marcelo & Vasconcelos, Gabriel F.R., 2023. "Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 393-417.
    2. Jack Jewson & Li Li & Laura Battaglia & Stephen Hansen & David Rossell & Piotr Zwiernik, 2022. "Graphical model inference with external network data," CeMMAP working papers 20/22, Institute for Fiscal Studies.
    3. Paola Stolfi & Mauro Bernardi & Davide Vergni, 2022. "Robust estimation of time-dependent precision matrix with application to the cryptocurrency market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-25, December.
    4. Nadège Ribau-Peltre & Pascal Damel & An Lethi, 2018. "A methodology to avoid over-diversification of funds of equity funds An implementation case study for equity funds of funds in bull markets," Post-Print hal-03027770, HAL.
    5. László PáL, 2022. "Asset Allocation Strategies Using Covariance Matrix Estimators," Acta Universitatis Sapientiae, Economics and Business, Sciendo, vol. 10(1), pages 133-144, September.

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