Tests for the weights of the global minimum variance portfolio in a high-dimensional setting

Taras Bodnar, Solomiia Dmytriv, Nestor Parolya, Wolfgang Schmid

Type: Preprint

Publication Date: 2017-10-26

Citations: 0

Locations

arXiv (Cornell University) - View

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+ PDF Chat	Spectral Analysis of Large Dimensional Random Matrices	2009	Zhidong Bai Jack W. Silverstein
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+	Properties of the singular, inverse and generalized inverse partitioned Wishart distributions	2008	Taras Bodnar Yarema Okhrin
+ PDF Chat	Families of Minimax Estimators of the Mean of a Multivariate Normal Distribution	1976	Bradley Efron Carl N. Morris
+	Note on the Generalized Inverse of a Matrix Product	1966	T. N. E. Greville
+	Direct shrinkage estimation of large dimensional precision matrix	2015	Taras Bodnar Arjun K. Gupta Nestor Parolya
+	Aspects of Multivariate Statistical Theory	1984	Leon Jay Gleser Robb J. Muirhead