IDEAS home Printed from https://ideas.repec.org/r/eee/jmvana/v143y2016icp314-326.html

Singular inverse Wishart distribution and its application to portfolio theory

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Mårten Gulliksson & Anna Oleynik & Stepan Mazur, 2024. "Portfolio Selection with a Rank-Deficient Covariance Matrix," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2247-2269, June.
  2. Bauder, David & Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2020. "Bayesian inference of the multi-period optimal portfolio for an exponential utility," Journal of Multivariate Analysis, Elsevier, vol. 175(C).
  3. Fredy Pokou & Jules Sadefo Kamdem & François Benhmad, 2024. "Empirical Performance of an ESG Assets Portfolio from US Market," Computational Economics, Springer;Society for Computational Economics, vol. 64(3), pages 1569-1638, September.
  4. Farrukh Javed & Stepan Mazur & Erik Thorsén, 2024. "Tangency portfolio weights under a skew-normal model in small and large dimensions," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 75(7), pages 1395-1406, July.
  5. Ruili Sun & Tiefeng Ma & Shuangzhe Liu, 2018. "A Stein-type shrinkage estimator of the covariance matrix for portfolio selections," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 81(8), pages 931-952, November.
  6. Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
  7. Bodnar, Taras & Mazur, Stepan & Podgórski, Krzysztof & Tyrcha, Joanna, 2018. "Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory," Working Papers 2018:1, Örebro University, School of Business.
  8. Taras Bodnar & Stepan Mazur & Hoang Nguyen, 2024. "Estimation of Optimal Portfolio Compositions for Small Sample and Singular Covariance Matrix," Springer Books, in: Sven Knoth & Yarema Okhrin & Philipp Otto (ed.), Advanced Statistical Methods in Process Monitoring, Finance, and Environmental Science, pages 259-278, Springer.
  9. Tsukuma, Hisayuki, 2016. "Estimation of a high-dimensional covariance matrix with the Stein loss," Journal of Multivariate Analysis, Elsevier, vol. 148(C), pages 1-17.
  10. Drin, Svitlana & Mazur, Stepan & Muhinyuza, Stanislas, 2023. "A test on the location of tangency portfolio for small sample size and singular covariance matrix," Working Papers 2023:11, Örebro University, School of Business.
  11. 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.
  12. Ruili Sun & Tiefeng Ma & Shuangzhe Liu, 2020. "Portfolio selection: shrinking the time-varying inverse conditional covariance matrix," Statistical Papers, Springer, vol. 61(6), pages 2583-2604, December.
  13. Xue Deng & Fengting Geng & Ying Liang, 2025. "Novel Fuzzy Portfolio Models Considering Minimax Expectations of Regret and Rejoice Based on Credibility Theory," Computational Economics, Springer;Society for Computational Economics, vol. 66(4), pages 3261-3290, October.
  14. Alfelt, Gustav & Mazur, Stepan, 2020. "On the mean and variance of the estimated tangency portfolio weights for small samples," Working Papers 2020:8, Örebro University, School of Business.
  15. Apostolos Chalkis & Emmanouil Christoforou & Ioannis Z. Emiris & Theodore Dalamagas, 2021. "Modeling asset allocations and a new portfolio performance score," Digital Finance, Springer, vol. 3(3), pages 333-371, December.
  16. Don S. Poskitt, 2020. "On GMM Inference: Partial Identification, Identification Strength, and Non-Standard," Monash Econometrics and Business Statistics Working Papers 40/20, Monash University, Department of Econometrics and Business Statistics.
  17. Gulliksson, Mårten & Mazur, Stepan & Oleynik, Anna, 2024. "Minimum VaR and minimum CVaR optimal portfolios: The case of singular covariance matrix," Working Papers 2024:9, Örebro University, School of Business.
  18. Jinlong Lei & Uday V. Shanbhag, 2025. "Variance-Reduced Accelerated First-Order Methods: Central Limit Theorems and Confidence Statements," Mathematics of Operations Research, INFORMS, vol. 50(2), pages 1364-1397, May.
  19. Golosnoy, Vasyl & Schmid, Wolfgang & Seifert, Miriam Isabel & Lazariv, Taras, 2020. "Statistical inferences for realized portfolio weights," Econometrics and Statistics, Elsevier, vol. 14(C), pages 49-62.
  20. Taras Bodnar & Stepan Mazur & Krzysztof Podgórski, 2017. "A test for the global minimum variance portfolio for small sample and singular covariance," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 101(3), pages 253-265, July.
  21. Duc Thi Luu, 2022. "Portfolio Correlations in the Bank-Firm Credit Market of Japan," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 529-569, August.
  22. Kobayashi, Ken & Takano, Yuichi & Nakata, Kazuhide, 2023. "Cardinality-constrained distributionally robust portfolio optimization," European Journal of Operational Research, Elsevier, vol. 309(3), pages 1173-1182.
  23. Bodnar, Taras & Kan, Raymond & Mazur, Stepan, 2026. "Computation of the exact density function of the product of a Wishart matrix and a normal vector," Working Papers 2026:4, Örebro University, School of Business.
  24. Bodnar, Taras & Mazur, Stepan & Muhinyuza, Stanislas & Parolya, Nestor, 2017. "On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions," Working Papers 2017:7, Örebro University, School of Business.
  25. Karlsson, Sune & Mazur, Stepan & Muhinyuza, Stanislas, 2020. "Statistical Inference for the Tangency Portfolio in High Dimension," Working Papers 2020:10, Örebro University, School of Business.
  26. Kozubowski, Tomasz J. & Mazur, Stepan & Podgorski, Krysztof, 2022. "Matrix Variate Generalized Laplace Distributions," Working Papers 2022:7, Örebro University, School of Business.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.