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The effects of errors in means, variances, and correlations on the mean-variance framework

Chung, Munki; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang; … - In: Quantitative finance 22 (2022) 10, pp. 1893-1903

Persistent link: https://www.econbiz.de/10013367960

Oops! I shrunk the sample covariance matrix again : blockbuster meets shrinkage

De Nard, Gianluca - In: Journal of financial econometrics 20 (2022) 4, pp. 569-611

Persistent link: https://www.econbiz.de/10013349144

Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices

De Nard, Gianluca; Zhao, Zhao - In: Journal of empirical finance 72 (2023), pp. 23-35

Persistent link: https://www.econbiz.de/10014476795

Sparse tangent portfolio selection via semi-definite relaxation

Kim, Min Jeong; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang - In: Operations research letters 44 (2016) 4, pp. 540-543

Persistent link: https://www.econbiz.de/10011535445

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021 - This version: June 2021

Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this paper, we show how...

Persistent link: https://www.econbiz.de/10012584099

Factor models for portfolio selection in large dimensions : the good, the better and the ugly

De Nard, Gianluca; Ledoit, Olivier; Wolf, Michael - In: Journal of financial econometrics 19 (2021) 2, pp. 236-257

Persistent link: https://www.econbiz.de/10012620051

Mean-variance optimization for asset allocation

Kim, Jang Ho; Lee, Yongjae; Kim, Woo Chang; Fabozzi, … - In: The journal of portfolio management : JPM 47 (2021) 5, pp. 24-40

Persistent link: https://www.econbiz.de/10012503361

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2020

Modeling and forecasting dynamic (or time-varying) covariance matrices has many important applications in finance, such as Markowitz portfolio selection. A popular tool to this end are multivariate GARCH models. Historically, such models did not perform well in large dimensions due to the...

Persistent link: https://www.econbiz.de/10012253083

Sparse and robust portfolio selection via semi-definite relaxation

Lee, Yongjae; Kim, Min Jeong; Kim, Jang Ho; Jang, Ju Ri; … - In: Journal of the Operational Research Society 71 (2020) 5, pp. 687-699

Persistent link: https://www.econbiz.de/10012216744

Recent advancements in robust optimization for investment management

Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J. - In: Analytical models for financial modeling and risk management, (pp. 183-198). 2018

Persistent link: https://www.econbiz.de/10011897168