Estimation of the Global Minimum Variance Portfolio in High Dimensions

Taras Bodnar, Nestor Parolya, Wolfgang Schmid

Type: Preprint

Publication Date: 2014-06-02

Citations: 2

Locations

arXiv (Cornell University) - View

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Works Cited by This (21)

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+ PDF Chat	Spectral Analysis of Large Dimensional Random Matrices	2009	Zhidong Bai Jack W. Silverstein
+	THE STIELTJES TRANSFORM AND ITS ROLE IN EIGENVALUE BEHAVIOR OF LARGE DIMENSIONAL RANDOM MATRICES	2009	Jack W. Silverstein
+	Strong Convergence of the Empirical Distribution of Eigenvalues of Large Dimensional Random Matrices	1995	Jack W. Silverstein
+	Limiting spectral distribution for a class of random matrices	1986	Yanqing Yin
+ PDF Chat	Gaussian fluctuations for sample covariance matrices with dependent data	2012	Olga Friesen Matthias Löwe Michael Stolz
+ PDF Chat	Nonparametric estimate of spectral density functions of sample covariance matrices: A first step	2010	Bing‐Yi Jing Guangming Pan Qi-Man Shao Zhou Wang
+	On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix	2014	Taras Bodnar Arjun K. Gupta Nestor Parolya
+	Analysis of the Limiting Spectral Distribution of Large Dimensional Random Matrices	1995	Jack W. Silverstein Sang Il Choi
+ PDF Chat	Spectral convergence for a general class of random matrices	2011	Francisco R. Rubio Xavier Mestre
+	On the Empirical Distribution of Eigenvalues of a Class of Large Dimensional Random Matrices	1995	Jack W. Silverstein Zhidong Bai