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Estimation of the global minimum variance portfolio in high dimensions
Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 266 (2018) 1, pp. 371-390
Persistent link: https://www.econbiz.de/10011811777
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Optimal shrinkage-based portfolio selection in high dimensions
Bodnar, Taras; Okhrin, Yarema; Parolya, Nestor - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 140-156
Persistent link: https://www.econbiz.de/10013540653
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Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
Bodnar, Taras; Parolya, Nestor; Thorsén, Erik - In: Finance research letters 54 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014472777
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On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix
Bodnar, Taras; Gupta, Arjun K.; Parolya, Nestor - In: Journal of Multivariate Analysis 132 (2014) C, pp. 215-228
In this work we construct an optimal linear shrinkage estimator for the covariance matrix in high dimensions. The recent results from the random matrix theory allow us to find the asymptotic deterministic equivalents of the optimal shrinkage intensities and estimate them consistently. The...
Persistent link: https://www.econbiz.de/10011041912