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Improved estimation of the covariance matrix of stock returns with an application to portfolio selection

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Cited by:

  1. Hautsch, Nikolaus & Voigt, Stefan, 2019. "Large-scale portfolio allocation under transaction costs and model uncertainty," Journal of Econometrics, Elsevier, vol. 212(1), pages 221-240.
  2. Gabriel Frahm & Tobias Wickern & Christof Wiechers, 2012. "Multiple tests for the performance of different investment strategies," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(3), pages 343-383, July.
  3. Jaehyung Choi & Hyangju Kim & Young Shin Kim, 2021. "Diversified reward-risk parity in portfolio construction," Papers 2106.09055, arXiv.org, revised Sep 2022.
  4. Zhao Zhao & Olivier Ledoit & Hui Jiang, 2019. "Risk reduction and efficiency increase in large portfolios: leverage and shrinkage," ECON - Working Papers 328, Department of Economics - University of Zurich, revised Jan 2020.
  5. Davide Benedetti & Enrico Biffis & Fotis Chatzimichalakis & Luciano Lilloy Fedele & Ian Simm, 2021. "Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy," Annals of Operations Research, Springer, vol. 299(1), pages 847-871, April.
  6. Nguyen Huu Hau & Tran Trung Tinh & Hoa Anh Tuong & Wing-Keung Wong, 2020. "Review of Matrix Theory with Applications in Education and Decision Sciences," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(1), pages 28-69, March.
  7. Antonio Rubia & Trino-Manuel Ñíguez, 2006. "Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(6), pages 439-458.
  8. Ka Wai Tsang & Zhaoyi He, 2020. "Mean-Variance Portfolio Management with Functional Optimization," Papers 2005.12774, arXiv.org, revised Nov 2020.
  9. Hannart, Alexis & Naveau, Philippe, 2014. "Estimating high dimensional covariance matrices: A new look at the Gaussian conjugate framework," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 149-162.
  10. Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2019. "Exponent of Cross-sectional Dependence for Residuals," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 81(1), pages 46-102, September.
  11. Cui, Xueting & Zhu, Shushang & Sun, Xiaoling & Li, Duan, 2013. "Nonlinear portfolio selection using approximate parametric Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2124-2139.
  12. Guillaume Coqueret, 2015. "Diversified minimum-variance portfolios," Annals of Finance, Springer, vol. 11(2), pages 221-241, May.
  13. Thomas Trier Bjerring & Omri Ross & Alex Weissensteiner, 2017. "Feature selection for portfolio optimization," Annals of Operations Research, Springer, vol. 256(1), pages 21-40, September.
  14. Fletcher, Jonathan, 2011. "Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns?," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 375-385.
  15. Lin, Ruitao & Liu, Zhongying & Zheng, Shurong & Yin, Guosheng, 2016. "Power computation for hypothesis testing with high-dimensional covariance matrices," Computational Statistics & Data Analysis, Elsevier, vol. 104(C), pages 10-23.
  16. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2018. "Estimation of the global minimum variance portfolio in high dimensions," European Journal of Operational Research, Elsevier, vol. 266(1), pages 371-390.
  17. Raju, Rajan & Agarwalla, Sobhesh Kumar, 2021. "Equity portfolio diversification: how many stocks are enough? Evidence from India," IIMA Working Papers WP 2021-02-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
  18. Qianqiu Liu, 2009. "On portfolio optimization: How and when do we benefit from high-frequency data?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 560-582.
  19. Li, Jiahan & Tsiakas, Ilias, 2017. "Equity premium prediction: The role of economic and statistical constraints," Journal of Financial Markets, Elsevier, vol. 36(C), pages 56-75.
  20. Pier Francesco Procacci & Tomaso Aste, 2022. "Portfolio optimization with sparse multivariate modeling," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 445-465, October.
  21. Sourish Das & Rituparna Sen, 2021. "Sparse Portfolio Selection via Bayesian Multiple Testing," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 585-617, November.
  22. Golosnoy, Vasyl & Gribisch, Bastian & Seifert, Miriam Isabel, 2019. "Exponential smoothing of realized portfolio weights," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 222-237.
  23. Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2015. "Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 263-290, March.
  24. Dangl, Thomas & Randl, Otto & Zechner, Josef, 2016. "Risk control in asset management: Motives and concepts," CFS Working Paper Series 546, Center for Financial Studies (CFS).
  25. Lorenzo Mercuri & Edit Rroji, 2018. "Risk parity for Mixed Tempered Stable distributed sources of risk," Annals of Operations Research, Springer, vol. 260(1), pages 375-393, January.
  26. Juszczuk, Przemysław & Kaliszewski, Ignacy & Miroforidis, Janusz & Podkopaev, Dmitry, 2022. "Mean--variance portfolio selection problem: Asset reduction via nondominated sorting," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 263-272.
  27. Steland, Ansgar & von Sachs, Rainer, 2018. "Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage," Stochastic Processes and their Applications, Elsevier, vol. 128(8), pages 2816-2855.
  28. Zhongzhi (Lawrence) He, 2007. "Incorporating alpha uncertainty into portfolio decisions: A Bayesian revisit of the Treynor–Black model," Journal of Asset Management, Palgrave Macmillan, vol. 8(3), pages 161-175, September.
  29. Thomas Schmelzer & Raphael Hauser, 2013. "Seven Sins in Portfolio Optimization," Papers 1310.3396, arXiv.org.
  30. Harvey, Campbell R. & Liu, Yan, 2021. "Lucky factors," Journal of Financial Economics, Elsevier, vol. 141(2), pages 413-435.
  31. Doron Avramov & Si Cheng & Lior Metzker & Stefan Voigt, 2023. "Integrating Factor Models," Journal of Finance, American Finance Association, vol. 78(3), pages 1593-1646, June.
  32. Andreas Thomann, 2021. "Multi-asset scenario building for trend-following trading strategies," Annals of Operations Research, Springer, vol. 299(1), pages 293-315, April.
  33. Caccioli, Fabio & Kondor, Imre & Papp, Gábor, 2015. "Portfolio optimization under expected shortfall: contour maps of estimation error," LSE Research Online Documents on Economics 119463, London School of Economics and Political Science, LSE Library.
  34. repec:agr:journl:v:4(621):y:2019:i:4(621):p:129-138 is not listed on IDEAS
  35. Olivier Ledoit & Michael Wolf, 2019. "The power of (non-)linear shrinking: a review and guide to covariance matrix estimation," ECON - Working Papers 323, Department of Economics - University of Zurich, revised Feb 2020.
  36. Sancetta, Alessio, 2008. "Sample covariance shrinkage for high dimensional dependent data," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 949-967, May.
  37. Sven Husmann & Antoniya Shivarova & Rick Steinert, 2019. "Sparsity and Stability for Minimum-Variance Portfolios," Papers 1910.11840, arXiv.org.
  38. Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2018. "Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices," Working Paper Series of the Department of Economics, University of Konstanz 2018-07, Department of Economics, University of Konstanz.
  39. Boudt, Kris & Cornelissen, Jonathan & Croux, Christophe, 2013. "The impact of a sustainability constraint on the mean-tracking error efficient frontier," Economics Letters, Elsevier, vol. 119(3), pages 255-260.
  40. Sourish Das & Aritra Halder & Dipak K. Dey, 2017. "Regularizing Portfolio Risk Analysis: A Bayesian Approach," Methodology and Computing in Applied Probability, Springer, vol. 19(3), pages 865-889, September.
  41. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
  42. Santos, André A.P. & Nogales, Francisco J. & Ruiz, Esther & Dijk, Dick Van, 2012. "Optimal portfolios with minimum capital requirements," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1928-1942.
  43. Dimitri Yatsenko & Krešimir Josić & Alexander S Ecker & Emmanouil Froudarakis & R James Cotton & Andreas S Tolias, 2015. "Improved Estimation and Interpretation of Correlations in Neural Circuits," PLOS Computational Biology, Public Library of Science, vol. 11(3), pages 1-28, March.
  44. Lim Hao Shen Keith, 2024. "Covariance Matrix Analysis for Optimal Portfolio Selection," Papers 2407.08748, arXiv.org.
  45. Georges Hübner, 2005. "The Generalized Treynor Ratio," Review of Finance, European Finance Association, vol. 9(3), pages 415-435.
  46. Harris, Richard D.F. & Mazibas, Murat & Rambaccussing, Dooruj, 2024. "Bitcoin replication using machine learning," International Review of Financial Analysis, Elsevier, vol. 93(C).
  47. Sourish Das & Aritra Halder & Dipak K. Dey, 2014. "Regularizing Portfolio Risk Analysis: A Bayesian Approach," Papers 1404.3258, arXiv.org, revised Oct 2015.
  48. Ding, Wenliang & Shu, Lianjie & Gu, Xinhua, 2023. "A robust Glasso approach to portfolio selection in high dimensions," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 22-37.
  49. Marco Centoni & Gianluca Cubadda, 2015. "Common Feature Analysis of Economic Time Series: An Overview and Recent Developments," CEIS Research Paper 355, Tor Vergata University, CEIS, revised 05 Oct 2015.
  50. Kung, James J., 2009. "A two-asset stochastic model for long-term portfolio selection," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(10), pages 3089-3098.
  51. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2018. "Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions," Journal of Econometrics, Elsevier, vol. 207(1), pages 71-91.
  52. Candelon, B. & Hurlin, C. & Tokpavi, S., 2012. "Sampling error and double shrinkage estimation of minimum variance portfolios," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 511-527.
  53. repec:wyi:journl:002093 is not listed on IDEAS
  54. Eduardo Bered Fernandes Vieira & Tiago Pascoal Filomena, 2020. "Liquidity Constraints for Portfolio Selection Based on Financial Volume," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 1055-1077, December.
  55. Tumminello, Michele & Lillo, Fabrizio & Mantegna, Rosario N., 2010. "Correlation, hierarchies, and networks in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 75(1), pages 40-58, July.
  56. Jörn Diedrichsen & Nikolaus Kriegeskorte, 2017. "Representational models: A common framework for understanding encoding, pattern-component, and representational-similarity analysis," PLOS Computational Biology, Public Library of Science, vol. 13(4), pages 1-33, April.
  57. Fabio Caccioli & Imre Kondor & G'abor Papp, 2015. "Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error," Papers 1510.04943, arXiv.org.
  58. Kourtis, Apostolos, 2014. "On the distribution and estimation of trading costs," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 104-117.
  59. Mishra, Anil V., 2016. "Foreign bias in Australian-domiciled mutual fund holdings," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 101-123.
  60. Nathan Lassance & Frédéric Vrins, 2021. "Minimum Rényi entropy portfolios," Annals of Operations Research, Springer, vol. 299(1), pages 23-46, April.
  61. Lian, Yu-Min & Chen, Jun-Home, 2019. "Portfolio selection in a multi-asset, incomplete-market economy," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 228-238.
  62. Pouya Faroughi & Shu Li & Jiandong Ren, 2023. "The Applications of Generalized Poisson Regression Models to Insurance Claim Data," Risks, MDPI, vol. 11(12), pages 1-17, December.
  63. Arco van Oord & Martin Martens & Herman K. van Dijk, 2009. "Robust Optimization of the Equity Momentum Strategy," Tinbergen Institute Discussion Papers 09-011/4, Tinbergen Institute.
  64. Fotis Papailias & Dimitrios Thomakos, 2015. "Covariance averaging for improved estimation and portfolio allocation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(1), pages 31-59, February.
  65. Chen, Jia & Li, Degui & Linton, Oliver, 2019. "A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables," Journal of Econometrics, Elsevier, vol. 212(1), pages 155-176.
  66. Tae-Hwy Lee & Ekaterina Seregina, 2020. "Learning from Forecast Errors: A New Approach to Forecast Combination," Working Papers 202024, University of California at Riverside, Department of Economics.
  67. Maria Gadea & Ana Gómez-Loscos & Antonio Montañés, 2012. "Cycles inside cycles: Spanish regional aggregation," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 3(4), pages 423-456, December.
  68. Mahsa Ghorbani & Edwin K. P. Chong, 2018. "Stock Price Prediction using Principle Components," Papers 1803.05075, arXiv.org.
  69. Patrick Krieger & Carsten Lausberg & Kristin Wellner, 2018. "Einblicke in die Gründe für nicht-normalverteilte Immobilienrenditen: eine explorative Untersuchung deutscher Wohnimmobilienportfolios [Insights into the reasons for non-normal real estate returns:," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 4(1), pages 49-79, November.
  70. Konstantin Glombek, 2014. "Statistical Inference for High-Dimensional Global Minimum Variance Portfolios," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(4), pages 845-865, December.
  71. Frahm, Gabriel & Memmel, Christoph, 2008. "Dominating estimators for the global minimum variance portfolio," Discussion Papers in Econometrics and Statistics 2/08, University of Cologne, Institute of Econometrics and Statistics.
  72. José Rangel & Robert Engle, 2012. "The Factor–Spline–GARCH Model for High and Low Frequency Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 109-124.
  73. Eom, Cheoljun & Park, Jong Won, 2018. "A new method for better portfolio investment: A case of the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 213-231.
  74. Thibault Bourgeron & Edmond Lezmi & Thierry Roncalli, 2019. "Robust Asset Allocation for Robo-Advisors," Papers 1902.07449, arXiv.org.
  75. Kempf, Alexander & Memmel, Christoph, 2005. "On the estimation of the global minimum variance portfolio," CFR Working Papers 05-02, University of Cologne, Centre for Financial Research (CFR).
  76. Hiraki, Kazuhiro & Sun, Chuanping, 2022. "A toolkit for exploiting contemporaneous stock correlations," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 99-124.
  77. Chavez-Bedoya, Luis & Rosales, Francisco, 2021. "Reduction of estimation risk in optimal portfolio choice using redundant constraints," International Review of Financial Analysis, Elsevier, vol. 78(C).
  78. Benoît Carmichael & Gilles Boevi Koumou & Kevin Moran, 2023. "Unifying Portfolio Diversification Measures Using Rao’s Quadratic Entropy," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(4), pages 769-802, December.
  79. Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018. "Calculating joint confidence bands for impulse response functions using highest density regions," Empirical Economics, Springer, vol. 55(4), pages 1389-1411, December.
  80. Maxime Markov & Vladimir Markov, 2023. "Portfolio Optimization Rules beyond the Mean-Variance Approach," Papers 2305.08530, arXiv.org, revised Nov 2023.
  81. Zhang, Xi & Li, Jian, 2018. "Credit and market risks measurement in carbon financing for Chinese banks," Energy Economics, Elsevier, vol. 76(C), pages 549-557.
  82. Liusha Yang & Romain Couillet & Matthew R. McKay, 2015. "A Robust Statistics Approach to Minimum Variance Portfolio Optimization," Papers 1503.08013, arXiv.org.
  83. Fanyu Zhao, 2023. "Portfolio Construction using Black-Litterman Model and Factors," Papers 2311.04475, arXiv.org.
  84. Jianqing Fan & Jingjin Zhang & Ke Yu, 2008. "Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios," Papers 0812.2604, arXiv.org.
  85. Roccazzella, Francesco & Gambetti, Paolo & Vrins, Frédéric, 2022. "Optimal and robust combination of forecasts via constrained optimization and shrinkage," International Journal of Forecasting, Elsevier, vol. 38(1), pages 97-116.
  86. Papp, Gábor & Caccioli, Fabio & Kondor, Imre, 2019. "Bias-variance trade-off in portfolio optimization under expected shortfall with ℓ 2 regularization," LSE Research Online Documents on Economics 100294, London School of Economics and Political Science, LSE Library.
  87. Becker, Franziska & Gürtler, Marc & Hibbeln, Martin, 2009. "Markowitz versus Michaud: Portfolio optimization strategies reconsidered," Working Papers IF30V3, Technische Universität Braunschweig, Institute of Finance.
  88. Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2015. "Risks of large portfolios," Journal of Econometrics, Elsevier, vol. 186(2), pages 367-387.
  89. Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2009. "International Stock Return Comovements," Journal of Finance, American Finance Association, vol. 64(6), pages 2591-2626, December.
  90. Aït-Sahalia, Yacine & Xiu, Dacheng, 2017. "Using principal component analysis to estimate a high dimensional factor model with high-frequency data," Journal of Econometrics, Elsevier, vol. 201(2), pages 384-399.
  91. Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," CARF F-Series CARF-F-219, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  92. Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold, 2007. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Chapters, in: The Risks of Financial Institutions, pages 513-544, National Bureau of Economic Research, Inc.
  93. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2014. "$L_p$ regularized portfolio optimization," Papers 1404.4040, arXiv.org.
  94. Eom, Cheoljun, 2017. "Two-faced property of a market factor in asset pricing and diversification effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 190-199.
  95. Thomas Holgersson & Peter Karlsson & Andreas Stephan, 2020. "A risk perspective of estimating portfolio weights of the global minimum-variance portfolio," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 59-80, March.
  96. Yuki Ikeda & Tatsuya Kubokawa & Muni S. Srivastava, 2015. "Comparison of Linear Shrinkage Estimators of a Large Covariance Matrix in Normal and Non-normal Distributions," CIRJE F-Series CIRJE-F-970, CIRJE, Faculty of Economics, University of Tokyo.
  97. Prayut Jain & Shashi Jain, 2019. "Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification," Risks, MDPI, vol. 7(3), pages 1-27, July.
  98. Andries C. van Vlodrop & Andre (A.) Lucas, 2018. "Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models," Tinbergen Institute Discussion Papers 18-099/III, Tinbergen Institute.
  99. Jiang, Chun-Fu & Peng, Hong-Yi & Yang, Yu-Kuan, 2016. "Tail variance of portfolio under generalized Laplace distribution," Applied Mathematics and Computation, Elsevier, vol. 282(C), pages 187-203.
  100. Mårten Gulliksson & Stepan Mazur, 2020. "An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 773-794, December.
  101. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013. "Financial Risk Measurement for Financial Risk Management," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220, Elsevier.
  102. Vaughn Gambeta & Roy Kwon, 2020. "Risk Return Trade-Off in Relaxed Risk Parity Portfolio Optimization," JRFM, MDPI, vol. 13(10), pages 1-28, October.
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  108. Seyoung Park & Eun Ryung Lee & Sungchul Lee & Geonwoo Kim, 2019. "Dantzig Type Optimization Method with Applications to Portfolio Selection," Sustainability, MDPI, vol. 11(11), pages 1-32, June.
  109. Maillet, Bertrand & Tokpavi, Sessi & Vaucher, Benoit, 2015. "Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach," European Journal of Operational Research, Elsevier, vol. 244(1), pages 289-299.
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  119. Cruz-Cano, Raul & Lee, Mei-Ling Ting, 2014. "Fast regularized canonical correlation analysis," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 88-100.
  120. Zhongzhi Lawrence He, 2018. "Generalized Information Ratio," Papers 1803.01381, arXiv.org, revised Apr 2018.
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  129. Atanda Mustapha Saidi, 2017. "Working Paper 273 - Stock (Mis)pricing and investment dynamics in Africa," Working Paper Series 2390, African Development Bank.
  130. 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.
  131. Sven Husmann & Antoniya Shivarova & Rick Steinert, 2019. "Cross-validated covariance estimators for high-dimensional minimum-variance portfolios," Papers 1910.13960, arXiv.org, revised Oct 2020.
  132. Mishra, Anil V., 2017. "Foreign bias in Australia's international equity holdings," Review of Financial Economics, Elsevier, vol. 33(C), pages 41-54.
  133. Jianqing Fan & Yuan Liao & Martina Mincheva, 2013. "Large covariance estimation by thresholding principal orthogonal complements," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(4), pages 603-680, September.
  134. Kasper Johansson & Mehmet Giray Ogut & Markus Pelger & Thomas Schmelzer & Stephen Boyd, 2023. "A Simple Method for Predicting Covariance Matrices of Financial Returns," Papers 2305.19484, arXiv.org, revised Nov 2023.
  135. Caporin, Massimiliano & McAleer, Michael, 2014. "Robust ranking of multivariate GARCH models by problem dimension," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 172-185.
  136. Benoit Carmichael & Gilles Boevi Koumou & Kevin Moran, 2015. "A New Formulation of Maximum Diversification Indexation Using Rao's Quadratic Entropy," Cahiers de recherche 1519, CIRPEE.
  137. Francisco Gomes & Michael Haliassos & Tarun Ramadorai, 2021. "Household Finance," Journal of Economic Literature, American Economic Association, vol. 59(3), pages 919-1000, September.
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