相关论文: On estimating covariances between many assets with…

Portfolio balancing requires estimates of covariance between asset returns. Returns data have histories which greatly vary in length, since assets begin public trading at different times. This can lead to a huge amount of missing data--too…

We consider the problem of optimizing a portfolio of financial assets, where the number of assets can be much larger than the number of observations. The optimal portfolio weights require estimating the inverse covariance matrix of excess…

We study the design of portfolios under a minimum risk criterion. The performance of the optimized portfolio relies on the accuracy of the estimated covariance matrix of the portfolio asset returns. For large portfolios, the number of…

Randomized experiments are the gold standard for causal inference, and justify simple comparisons across treatment groups. Regression adjustment provides a convenient way to incorporate covariate information for additional efficiency. This…

In statistics, series of ordinary least squares problems (OLS) are used to study the linear correlation among sets of variables of interest; in many studies, the number of such variables is at least in the millions, and the corresponding…

Portfolio optimization requires sophisticated covariance estimators that are able to filter out estimation noise. Non-linear shrinkage is a popular estimator based on how the Oracle eigenvalues can be computed using only data from the…

This paper investigates the large sample properties of the variance, weights, and risk of high-dimensional portfolios where the inverse of the covariance matrix of excess asset returns is estimated using a technique called nodewise…

This paper investigates an important problem of an appropriate variance-covariance matrix estimation in the Modern Portfolio Theory. We propose a novel framework for variancecovariance matrix estimation for purposes of the portfolio…

This paper presents how the most recent improvements made on covariance matrix estimation and model order selection can be applied to the portfolio optimisation problem. The particular case of the Maximum Variety Portfolio is treated but…

In portfolio risk minimization, the inverse covariance matrix of returns is often unknown and has to be estimated in practice. This inverse covariance matrix also prescribes the hedge trades in which a stock is hedged by all the other…

In portfolio analysis, the traditional approach of replacing population moments with sample counterparts may lead to suboptimal portfolio choices. I show that optimal portfolio weights can be estimated using a machine learning (ML)…

We introduce a novel covariance estimator for portfolio selection that adapts to the non-stationary or persistent heteroskedastic environments of financial time series by employing exponentially weighted averages and nonlinearly shrinking…

Model averaging methods have become an increasingly popular tool for improving predictions and dealing with model uncertainty, especially in Bayesian settings. Recently, frequentist model averaging methods such as information theoretic and…

We propose a model to forecast large realized covariance matrices of returns, applying it to the constituents of the S\&P 500 daily. To address the curse of dimensionality, we decompose the return covariance matrix using standard firm-level…

According to recent findings [1,2], empirical covariance matrices deduced from financial return series contain such a high amount of noise that, apart from a few large eigenvalues and the corresponding eigenvectors, their structure can…

Least squares linear regression is one of the oldest and widely used data analysis tools. Although the theoretical analysis of the ordinary least squares (OLS) estimator is as old, several fundamental questions are yet to be answered.…

Minimum-variance portfolio optimizations rely on accurate covariance estimator to obtain optimal portfolios. However, it usually suffers from large error from sample covariance matrix when the sample size $n$ is not significantly larger…

High-dimensional compositional data are commonplace in the modern omics sciences amongst others. Analysis of compositional data requires a proper choice of orthonormal coordinate representation as their relative nature is not compatible…

Large-dimensional factor model has drawn much attention in the big-data era, in order to reduce the dimensionality and extract underlying features using a few latent common factors. Conventional methods for estimating the factor model…

We address covariance estimation in the sense of minimum mean-squared error (MMSE) for Gaussian samples. Specifically, we consider shrinkage methods which are suitable for high dimensional problems with a small number of samples (large p…