Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS-Reference-Cited by-同舟云学术

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Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS

Published:2024-07-16 Issue: Volume: Page:1-8
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Bongiorno Christian¹^ORCID,Challet Damien¹^ORCID

Affiliation:

1. Laboratoire de Mathématiques et Informatique pour la Complexité et les Systèmes, Université Paris-Saclay, CentraleSupélec, Gif-sur-Yvette, 91192, France

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2024.2372053

Reference11 articles.

1. Filtering time-dependent covariance matrices using time-independent eigenvalues;Bongiorno C.;J. Stat. Mech.: Theory and Experiment,2023

2. Theory of Financial Risk and Derivative Pricing

3. Cleaning large correlation matrices: Tools from Random Matrix Theory

4. Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly

5. Dynamic Conditional Correlation

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