Covariance matrix estimation under total positivity for portfolio selection
Year of publication: |
2022
|
---|---|
Authors: | Agrawal, Raj ; Roy, Uma ; Uhler, Caroline |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 20.2022, 2, p. 367-389
|
Subject: | Gaussian graphical model | portfolio selection | total positivity | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Korrelation | Correlation | Varianzanalyse | Analysis of variance |
-
Markowitz portfolios under transaction costs
Ledoit, Olivier, (2022)
-
Estimation of high-dimensional covariance matrices and applications to portfolio selection
Chen, Zehao, (2008)
-
Estimation and forecasting of large realized covariance matrices and portfolio choice
Callot, Laurent, (2014)
- More ...
-
Faithfulness and learning hypergraphs from discrete distributions
Klimova, Anna, (2015)
-
Multivariate Gaussians, semidefinite matrix completion, and convex algebraic geometry
Sturmfels, Bernd, (2010)
-
Multivariate Gaussians, semidefinite matrix completion, and convex algebraic geometry
Sturmfels, Bernd, (2010)
- More ...