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Risks of Large Portfolios

Citations

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Cited by:

  1. Ma, Shujie & Su, Liangjun, 2018. "Estimation of large dimensional factor models with an unknown number of breaks," Journal of Econometrics, Elsevier, vol. 207(1), pages 1-29.
  2. Christis Katsouris, 2021. "Optimal Portfolio Choice and Stock Centrality for Tail Risk Events," Papers 2112.12031, arXiv.org.
  3. Chen, Song Xi & Guo, Bin & Qiu, Yumou, 2023. "Testing and signal identification for two-sample high-dimensional covariances via multi-level thresholding," Journal of Econometrics, Elsevier, vol. 235(2), pages 1337-1354.
  4. David Neděla & Sergio Ortobelli Lozza & Tomáš Tichý, 2025. "Dynamic Return Scenario Generation Approach for Large-Scale Portfolio Optimisation Framework," Computational Economics, Springer;Society for Computational Economics, vol. 65(2), pages 819-843, February.
  5. 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.
  6. Fan, Jianqing & Han, Fang & Liu, Han & Vickers, Byron, 2016. "Robust inference of risks of large portfolios," Journal of Econometrics, Elsevier, vol. 194(2), pages 298-308.
  7. Cai, Zhanrui & Li, Changcheng & Wen, Jiawei & Yang, Songshan, 2024. "Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property," Journal of Econometrics, Elsevier, vol. 239(2).
  8. Li, Kunpeng & Li, Qi & Lu, Lina, 2018. "Quasi maximum likelihood analysis of high dimensional constrained factor models," Journal of Econometrics, Elsevier, vol. 206(2), pages 574-612.
  9. Mehmet Caner & Xu Han, 2021. "An upper bound for functions of estimators in high dimensions," Econometric Reviews, Taylor & Francis Journals, vol. 40(1), pages 1-13, January.
  10. Fan, Jianqing & Kim, Donggyu, 2019. "Structured volatility matrix estimation for non-synchronized high-frequency financial data," Journal of Econometrics, Elsevier, vol. 209(1), pages 61-78.
  11. Barigozzi, Matteo & Hallin, Marc & Luciani, Matteo & Zaffaroni, Paolo, 2024. "Inferential theory for generalized dynamic factor models," Journal of Econometrics, Elsevier, vol. 239(2).
  12. Matteo Barigozzi & Marc Hallin, 2016. "Generalized dynamic factor models and volatilities: recovering the market volatility shocks," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 33-60, February.
  13. Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
  14. Noureddine Kouaissah & Sergio Ortobelli Lozza & Ikram Jebabli, 2022. "Portfolio Selection Using Multivariate Semiparametric Estimators and a Copula PCA-Based Approach," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 833-859, October.
  15. Hui, Yongchang & Shi, Mengjie & Wong, Wing-Keung & Zheng, Shurong, 2024. "Pragmatic attitude to large-scale Markowitz’s portfolio optimization and factor-augmented derating," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  16. Fan, Jianqing & Wang, Weichen & Zhong, Yiqiao, 2019. "Robust covariance estimation for approximate factor models," Journal of Econometrics, Elsevier, vol. 208(1), pages 5-22.
  17. HAFNER, Christian & LINTON, Oliver B. & TANG, Haihan, 2016. "Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case," LIDAM Discussion Papers CORE 2016044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  18. Yu, Long & He, Yong & Kong, Xinbing & Zhang, Xinsheng, 2022. "Projected estimation for large-dimensional matrix factor models," Journal of Econometrics, Elsevier, vol. 229(1), pages 201-217.
  19. Christis Katsouris, 2023. "Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models," Papers 2305.11282, arXiv.org, revised Jul 2023.
  20. Esra Ulasan & A. Özlem Önder, 2023. "Large portfolio optimisation approaches," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 485-497, October.
  21. Barigozzi, Matteo & Hallin, Marc, 2020. "Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals," Journal of Econometrics, Elsevier, vol. 216(1), pages 4-34.
  22. Kouaissah, Noureddine, 2021. "Using multivariate stochastic dominance to enhance portfolio selection and warn of financial crises," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 480-493.
  23. Ding, Yi & Li, Yingying & Zheng, Xinghua, 2021. "High dimensional minimum variance portfolio estimation under statistical factor models," Journal of Econometrics, Elsevier, vol. 222(1), pages 502-515.
  24. Yu, Xiufan & Yao, Jiawei & Xue, Lingzhou, 2024. "Power enhancement for testing multi-factor asset pricing models via Fisher’s method," Journal of Econometrics, Elsevier, vol. 239(2).
  25. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
  26. Yu-Min Yen, 2016. "Sparse Weighted-Norm Minimum Variance Portfolios," Review of Finance, European Finance Association, vol. 20(3), pages 1259-1287.
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