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

Citations

Cited by:

1. Weilong Liu & Yanchu Liu, 2025. "Covariance Matrix Estimation for Positively Correlated Assets," Papers 2507.01545, arXiv.org.
2. 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.
   • Gianluca De Nard & Robert F. Engle & Bryan Kelly, 2023. "Factor mimicking portfolios for climate risk," ECON - Working Papers 429, Department of Economics - University of Zurich, revised Mar 2024.
3. Etienne Wijler & Andre Lucas, 2025. "An Impartial Look at Asset Correlation Stability and Market Structure," Tinbergen Institute Discussion Papers 25-051/III, Tinbergen Institute.
4. 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.
5. 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.
6. Olivier Ledoit & Michael Wolf, 2022. "Markowitz portfolios under transaction costs," ECON - Working Papers 420, Department of Economics - University of Zurich, revised Sep 2024.
7. 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.
8. 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.
9. 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.
10. Ledoit, Olivier & Wolf, Michael, 2025. "Markowitz portfolios under transaction costs," The Quarterly Review of Economics and Finance, Elsevier, vol. 100(C).
11. Wu, Yongqiang & Zhang, Jun & Lan, Wei, 2025. "Structured covariance matrix estimation under volatility constraint," Finance Research Letters, Elsevier, vol. 85(PD).
12. 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).
13. 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.
14. Chibane, Messaoud & Joubrel, Mathieu, 2024. "The ESG-efficient frontier under ESG rating uncertainty," Finance Research Letters, Elsevier, vol. 67(PB).
15. 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).
16. 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).
17. Jean-Philippe Bouchaud & Iacopo Mastromatteo & Marc Potters & Konstantin Tikhonov, 2022. "Excess Out-of-Sample Risk and Fleeting Modes," Papers 2205.01012, arXiv.org.
18. Esra Ulasan & A. Özlem Önder, 2023. "Large portfolio optimisation approaches," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 485-497, October.
19. 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).
20. Koos B. Gubbels & Andre Lucas, 2026. "Spectral Dynamics and Regularization for High-Dimensional Copulas," Papers 2601.13281, arXiv.org.
21. 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).
22. 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.
23. Anatolyev, Stanislav & Pyrlik, Vladimir, 2022. "Copula shrinkage and portfolio allocation in ultra-high dimensions," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
24. 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).
25. 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.
26. 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).
27. 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.
28. 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.