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Estimation of time-varying covariance matrices for large datasets
Dendramis, Yiannis; Giraitis, Liudas; Kapetanios, George - 2020
Unemployment, firm Dynamics, and the Business CyclTime variation is a fundamental problem in statistical and econometric analysis of macroeconomic and financial data. Recently there has been considerable focus on developing econometric modelling that enables stochastic structural change in model...
Persistent link: https://www.econbiz.de/10012316010
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Sparse and stable international portfolio optimization and currency risk management
Burkhardt, Raphael; Ulrych, Urban - In: Journal of international money and finance 139 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014478227
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A nodewise regression approach to estimating large portfolios
Callot, Laurent; Caner, Mehmet; Özlem Önder, A.; … - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 520-531
Persistent link: https://www.econbiz.de/10012499096
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High‐dimensional macroeconomic forecasting and variable selection via penalized regression : editor's choice
Uematsu, Yoshimasa; Tanaka, Shinya - In: The econometrics journal 22 (2019) 1, pp. 34-56
Persistent link: https://www.econbiz.de/10012166649
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Construction, management, and performance of sparse Markowitz portfolios
Henriques, Julie; Ortega, Juan-Pablo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 4, pp. 383-402
Persistent link: https://www.econbiz.de/10010461234
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Essays on asset pricing and portfolio optimization
Koeppel, Christian - 2021
WThis doctoral thesis focuses on the effects of investor sentiment on asset pricing and the challenges of portfolio optimization under parameter uncertainty. The first essay "Sentiment risk premia in the cross-section of global equity" applies a recently developed sentiment proxy to the...
Persistent link: https://www.econbiz.de/10012651028
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Regularized maximum diversification investment strategy
Koné, N'Golo - 2021
problem, we investigate three regularization techniques, including the ridge, the spectral cut-off, and the Landweber …-Fridman approaches in order to stabilize the inverse of the covariance matrix. These regularization schemes involve a tuning parameter … that the selected portfolio by regularization is asymptotically efficient with respect to the diversification ratio. In …
Persistent link: https://www.econbiz.de/10012431092
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Sparse and stable international portfolio optimization and currency risk management
Burkhardt, Raphael; Ulrych, Urban - 2022 - This Version: January 2022
currencies, shrinkage of the input parameters, and constraints on the norms of the asset- and currency-weight vectors. The … empirical performance of the portfolio optimization strategies based on the proposed regularization techniques and the joint (i …
Persistent link: https://www.econbiz.de/10012800968
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Uncertain risk parity
Shah, Anish R. - In: The journal of investment strategies 10 (2021) 1, pp. 29-41
Persistent link: https://www.econbiz.de/10012805357
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Regularized maximum diversification investment strategy
Koné, N'Golo - 2021
problem, we investigate three regularization techniques, including the ridge, the spectral cut-off, and the Landweber …-Fridman approaches in order to stabilize the inverse of the covariance matrix. These regularization schemes involve a tuning parameter … that the selected portfolio by regularization is asymptotically efficient with respect to the diversification ratio. In …
Persistent link: https://www.econbiz.de/10012395589