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02/14/2022
Two is better than one: Regularized shrinkage of large minimum variance portfolio
In this paper we construct a shrinkage estimator of the global minimum v...
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06/03/2021
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio
In this paper, new results in random matrix theory are derived which all...
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03/25/2021
Logarithmic law of large random correlation matrix
Consider a random vector 𝐲=Σ^1/2𝐱, where the p elements of the vector 𝐱 ...
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05/10/2020
Statistical inference for the EU portfolio in high dimensions
In this paper, using the shrinkage-based approach for portfolio weights ...
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04/27/2020
Spectral analysis of large reflexive generalized inverse and Moore-Penrose inverse matrices
A reflexive generalized inverse and the Moore-Penrose inverse are often ...
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10/26/2017
