Cross-validated covariance estimators for high-dimensional minimum-variance portfolios
Sven Husmann, Antoniya Shivarova, Rick Steinert
| Year of publication: |
2021
|
|---|---|
| Authors: | Husmann, Sven ; Shivarova, Antoniya ; Steinert, Rick |
| Published in: |
Financial markets and portfolio management. - Norwell, Mass. : Springer, ISSN 2373-8529, ZDB-ID 2097963-0. - Vol. 35.2021, 3, p. 309-352
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| Subject: | Covariance estimation | Portfolio optimization | High dimensionality | Cross-validation | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance | Kapitaleinkommen | Capital income |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11408-020-00376-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012616164