Large portfolio allocation based on high-dimensional regression and Kendall’s Tau-Reference-Cited by-同舟云学术

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Large portfolio allocation based on high-dimensional regression and Kendall’s Tau

Published:2023-08-11 Issue: Volume: Page:1-13
ISSN:0361-0918
Container-title:Communications in Statistics - Simulation and Computation
language:en
Short-container-title:Communications in Statistics - Simulation and Computation

Author:

Zhang Zhifei¹²^ORCID,Yue Mu³^ORCID,Huang Lei¹^ORCID,Wang Qin¹^ORCID,Yang Baoying¹^ORCID

Affiliation:

1. Department of Statistics, School of Mathematics, Southwest Jiaotong University, Sichuan, China

2. Medical Record Management Center, Suining Central Hospital, Sichuan, China

3. Engineering Systems and Design Pillar, Singapore University of Technology and Design, Singapore, Singapore

Funder

Sichuan Natural Science Foundation

Fundamental Research Funds for the Central Universities

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610918.2023.2245176

Reference39 articles.

1. Approaching Mean-Variance Efficiency for Large Portfolios

2. Sparse and stable Markowitz portfolios

3. Jackknife Estimator for Tracking Error Variance of Optimal Portfolios

4. ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY

5. ROCKET: Robust confidence intervals via Kendall’s tau for transelliptical graphical models

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1. Performance evaluation of different regression models: application in a breast cancer patient data;Scientific Reports;2024-06-06

2. Element Aggregation for Estimation of High-Dimensional Covariance Matrices;Mathematics;2024-03-30

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