Estimation of the global minimum variance portfolio in high dimensions

Taras Bodnar, Nestor Parolya, Wolfgang Schmid

Type: Article

Publication Date: 2017-09-25

Citations: 87

DOI: https://doi.org/10.1016/j.ejor.2017.09.028

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European Journal of Operational Research - View
arXiv (Cornell University) - View - PDF
RePEc: Research Papers in Economics - View - PDF

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+	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
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+	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