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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

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

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

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