IDEAS home Printed from https://ideas.repec.org/r/oup/jfinec/v20y2022i1p187-218..html

The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation
[Design-Free Estimation of Variance Matrices]

Citations

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


Cited by:

  1. Weilong Liu & Yanchu Liu, 2025. "Covariance Matrix Estimation for Positively Correlated Assets," Papers 2507.01545, arXiv.org.
  2. Pienaar, Ruwan & van Vuuren, Gary, 2025. "Enhancing Portfolio Asset Allocation Efficiency using Blended Covariance Matrices," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, vol. 15(4), pages 343-355, June.
  3. Gianluca De Nard & Robert F. Engle & Bryan Kelly, 2024. "Factor-Mimicking Portfolios for Climate Risk," Financial Analysts Journal, Taylor & Francis Journals, vol. 80(3), pages 37-58, July.
  4. Etienne Wijler & Andre Lucas, 2025. "An Impartial Look at Asset Correlation Stability and Market Structure," Tinbergen Institute Discussion Papers 25-051/III, Tinbergen Institute.
  5. Elliot Beck & Damian Kozbur & Michael Wolf, 2023. "Hedging Forecast Combinations With an Application to the Random Forest," Papers 2308.15384, arXiv.org, revised Aug 2023.
  6. Gianluca De Nard & Damjan Kostovic, 2025. "Learning the shrinkage intensity: a data-driven approach for risk-optimized portfolios," ECON - Working Papers 470, Department of Economics - University of Zurich, revised Nov 2025.
  7. Olivier Ledoit & Michael Wolf, 2022. "Markowitz portfolios under transaction costs," ECON - Working Papers 420, Department of Economics - University of Zurich, revised Sep 2024.
  8. Jean-David Fermanian & Benjamin Poignard & Panos Xidonas, 2025. "Model-based vs. agnostic methods for the prediction of time-varying covariance matrices," Annals of Operations Research, Springer, vol. 346(1), pages 511-548, March.
  9. K. B. Gubbels & J. Y. Ypma & C. W. Oosterlee, 2026. "Principal Component Copulas for Capital Modelling and Systemic Risk," Computational Economics, Springer;Society for Computational Economics, vol. 68(1), pages 111-141, July.
  10. Jianqing Fan & Donggyu Kim & Minseok Shin & Yazhen Wang, 2024. "Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data," Working Papers 202415, University of California at Riverside, Department of Economics.
  11. Jin Yuan & Xianghui Yuan, 2023. "A Best Linear Empirical Bayes Method for High-Dimensional Covariance Matrix Estimation," SAGE Open, , vol. 13(2), pages 21582440231, June.
  12. Ledoit, Olivier & Wolf, Michael, 2025. "Markowitz portfolios under transaction costs," The Quarterly Review of Economics and Finance, Elsevier, vol. 100(C).
  13. Wu, Yongqiang & Zhang, Jun & Lan, Wei, 2025. "Structured covariance matrix estimation under volatility constraint," Finance Research Letters, Elsevier, vol. 85(PD).
  14. Pierpaolo Uberti, 2026. "Measuring the risk or reducing it, that is the question: is risk measurement necessary for risk reduction?," Papers 2604.28124, arXiv.org.
  15. Lu, Cheng & Ndiaye, Papa Momar & Simaan, Majeed, 2024. "Improved estimation of the correlation matrix using reinforcement learning and text-based networks," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  16. Yan Zhang & Jiyuan Tao & Zhixiang Yin & Guoqiang Wang, 2022. "Improved Large Covariance Matrix Estimation Based on Efficient Convex Combination and Its Application in Portfolio Optimization," Mathematics, MDPI, vol. 10(22), pages 1-15, November.
  17. Chibane, Messaoud & Joubrel, Mathieu, 2024. "The ESG-efficient frontier under ESG rating uncertainty," Finance Research Letters, Elsevier, vol. 67(PB).
  18. Sun, Zhangshuang & Gao, Xuerui & Luo, Kangyang & Bai, Yanqin & Tao, Jiyuan & Wang, Guoqiang, 2025. "Enhancing high-dimensional dynamic conditional angular correlation model based on GARCH family models: Comparative performance analysis for portfolio optimization," Finance Research Letters, Elsevier, vol. 75(C).
  19. Shin, Minseok & Kim, Donggyu & Wang, Yazhen & Fan, Jianqing, 2025. "Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations," Journal of Econometrics, Elsevier, vol. 252(PA).
  20. Jean-Philippe Bouchaud & Iacopo Mastromatteo & Marc Potters & Konstantin Tikhonov, 2022. "Excess Out-of-Sample Risk and Fleeting Modes," Papers 2205.01012, arXiv.org.
  21. Esra Ulasan & A. Özlem Önder, 2023. "Large portfolio optimisation approaches," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 485-497, October.
  22. Lassance, Nathan & Vanderveken, Rodolphe & Vrins, Frédéric, 2025. "Shrink with Purpose: Optimal Covariance Matrix Estimation for Portfolio Selection," LIDAM Discussion Papers LFIN 2025002, Université catholique de Louvain, Louvain Finance (LFIN).
  23. Koos B. Gubbels & Andre Lucas, 2026. "Spectral Dynamics and Regularization for High-Dimensional Copulas," Papers 2601.13281, arXiv.org.
  24. Jiang, Yifu & Olmo, Jose & Atwi, Majed, 2024. "Dynamic robust portfolio selection under market distress," The North American Journal of Economics and Finance, Elsevier, vol. 69(PB).
  25. Mörstedt, Torsten & Lutz, Bernhard & Neumann, Dirk, 2024. "Cross validation based transfer learning for cross-sectional non-linear shrinkage: A data-driven approach in portfolio optimization," European Journal of Operational Research, Elsevier, vol. 318(2), pages 670-685.
  26. Anatolyev, Stanislav & Pyrlik, Vladimir, 2022. "Copula shrinkage and portfolio allocation in ultra-high dimensions," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
  27. Lotfi, Rasoul & Shahsavani, Davood & Arashi, Mohammad, 2025. "Classifying elliptically distributed observations using the Ledoit–Wolf shrinkage approach," Journal of Multivariate Analysis, Elsevier, vol. 210(C).
  28. Minshuo Chen & Renyuan Xu & Yumin Xu & Ruixun Zhang, 2025. "Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure," Papers 2504.06566, arXiv.org, revised Jan 2026.
  29. Bongiorno, Christian & Lamrani, Lamia, 2025. "Quantifying the information lost in optimal covariance matrix cleaning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 657(C).
  30. Francisco Salas-Molina & David Pla-Santamaria & Ana Garcia-Bernabeu & Adolfo Hilario-Caballero, 2025. "An Empirical Evaluation of Distance Metrics in Hierarchical Risk Parity Methods for Asset Allocation," Computational Economics, Springer;Society for Computational Economics, vol. 66(6), pages 5189-5206, December.
  31. Lamia Lamrani & Christian Bongiorno & Marc Potters, 2025. "Optimal Data Splitting for Holdout Cross-Validation in Large Covariance Matrix Estimation," Papers 2503.15186, arXiv.org, revised Sep 2025.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.