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Honey, I Shrunk the Sample Covariance Matrix
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Outgoing claims: the papers this work cites, builds on, or argues with.
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A well-conditioned estimator for large-dimensional covariance matrices
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Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
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Stein's Paradox in Statistics
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Estimation for Markowitz Efficient Portfolios
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Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
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PORTFOLIO SELECTION*
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A Test for the Number of Factors in an Approximate Factor Model
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A Simplified Model for Portfolio Analysis
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INADMISSIBILITY OF THE USUAL ESTIMATOR FOR THE MEAN OF A MULTIVARIATE NORMAL DISTRIBUTION
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Bayes-Stein Estimation for Portfolio Analysis
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An Empirical Bayes Approach to Efficient Portfolio Selection
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The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?
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The Three Types of Factor Models: A Comparison of Their Explanatory Power
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Portfolio Constraints and the Fundamental Law of Active Management
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Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
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A Mean/Variance Analysis of Tracking Error
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Robust Portfolio Allocation with Systematic Risk Contribution Restrictions11The authors gratefully acknowledge financial support of the chair QuantValley/Risk Foundation “Quantitative Management Initiative”. The second author gratefully acknowledges financial support of NSERC Canada.
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Factor Investing: The Rocky Road from Long-Only to Long-Short * *The authors are grateful to Sohnke Bartram, Nicolas Fragneau, Emmanuel Jurczenko, Bruce Phelps, Simon Polbennikov, Thierry Roncalli, Bruno Taillardat, Paolo Sodini and Mihail Velikov for suggestions and discussions.
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inferred← citeshttps://doi.org/10.1016/j.comgeo.2022.101916openalex-snapshot
Practical volume approximation of high-dimensional convex bodies, applied to modeling portfolio dependencies and financial crises
inferred← citeshttps://doi.org/10.1016/j.compag.2021.106303openalex-snapshot
An automatic non-invasive classification for plant phenotyping by MRI images: An application for quality control on cauliflower at primary meristem stage
inferred← citeshttps://doi.org/10.1016/j.compeleceng.2021.107311openalex-snapshot
The use of ellipse-based estimator as a sub-key distinguisher for Side-Channel Analysis
inferred← citeshttps://doi.org/10.1016/j.crneur.2021.100019openalex-snapshot
Learning boosts the decoding of sound sequences in rat auditory cortex
inferred← citeshttps://doi.org/10.1016/j.csda.2010.09.022openalex-snapshot
On the estimation of dynamic conditional correlation models
inferred← citeshttps://doi.org/10.1016/j.csda.2010.12.006openalex-snapshot
Improved Stein-type shrinkage estimators for the high-dimensional multivariate normal covariance matrix
inferred← citeshttps://doi.org/10.1016/j.csda.2012.05.012openalex-snapshot
Robust ranking of multivariate GARCH models by problem dimension
inferred← citeshttps://doi.org/10.1016/j.csda.2013.09.028openalex-snapshot
Sovereign credit ratings, market volatility, and financial gains
inferred← citeshttps://doi.org/10.1016/j.csda.2015.01.013openalex-snapshot
Dynamic equicorrelation stochastic volatility
inferred← citeshttps://doi.org/10.1016/j.cviu.2024.104215openalex-snapshot
Multivariate prototype representation for domain-generalized incremental learning
inferred← citeshttps://doi.org/10.1016/j.ecolecon.2014.04.024openalex-snapshot
There is no silver bullet: The value of diversification in planning invasive species surveillance
inferred← citeshttps://doi.org/10.1016/j.econ.2014.11.003openalex-snapshot
Beating the market with small portfolios: Evidence from Brazil
inferred← citeshttps://doi.org/10.1016/j.econlet.2021.109827openalex-snapshot
Robust conditional expectation reward–risk performance measures
inferred← citeshttps://doi.org/10.1016/j.econlet.2025.112552openalex-snapshot
Outperforming equal weighting
inferred← citeshttps://doi.org/10.1016/j.econmod.2018.11.012openalex-snapshot
Combining the minimum-variance and equally-weighted portfolios: Can portfolio performance be improved?
inferred← citeshttps://doi.org/10.1016/j.econmod.2024.106981openalex-snapshot
Improving minimum-variance portfolio through shrinkage of large covariance matrices
inferred← citeshttps://doi.org/10.1016/j.ecosta.2019.04.001openalex-snapshot
Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices
inferred← citeshttps://doi.org/10.1016/j.ecosta.2024.06.001openalex-snapshot
Doubly Sparse estimator for high-dimensional covariance matrices
inferred← citeshttps://doi.org/10.1016/j.ejor.2013.10.060openalex-snapshot
60 Years of portfolio optimization: Practical challenges and current trends
inferred← citeshttps://doi.org/10.1016/j.ejor.2015.01.010openalex-snapshot
Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach
inferred← citeshttps://doi.org/10.1016/j.ejor.2015.08.056openalex-snapshot
Sparse and robust normal and t- portfolios by penalized Lq-likelihood minimization
inferred← citeshttps://doi.org/10.1016/j.ejor.2015.11.012openalex-snapshot
Portfolio optimization with disutility-based risk measure
inferred← citeshttps://doi.org/10.1016/j.ejor.2016.04.026openalex-snapshot
On the strategic behavior of large investors: A mean-variance portfolio approach
inferred← citeshttps://doi.org/10.1016/j.ejor.2017.04.015openalex-snapshot
Asset allocation with correlation: A composite trade-off
inferred← citeshttps://doi.org/10.1016/j.ejor.2018.08.025openalex-snapshot
A linear programming model for selection of sparse high-dimensional multiperiod portfolios
inferred← citeshttps://doi.org/10.1016/j.ejor.2020.08.051openalex-snapshot
Second order of stochastic dominance efficiency vs mean variance efficiency
inferred← citeshttps://doi.org/10.1016/j.ejor.2021.04.044openalex-snapshot
Portfolio optimization with behavioural preferences and investor memory
inferred← citeshttps://doi.org/10.1016/j.ejor.2022.03.006openalex-snapshot
Keyword portfolio optimization in paid search advertising
inferred← citeshttps://doi.org/10.1016/j.ejor.2024.05.006openalex-snapshot
Cross validation based transfer learning for cross-sectional non-linear shrinkage: A data-driven approach in portfolio optimization
inferred← citeshttps://doi.org/10.1016/j.ejrh.2026.103163openalex-snapshot
Evaluating the three-cornered hat method for hourly satellite precipitation fusion in hydrological forecasting: A case study in a Tropical Andean Basin
inferred← citeshttps://doi.org/10.1016/j.ememar.2018.11.009openalex-snapshot
The Cross-Section of Emerging Market Stock Returns
inferred← citeshttps://doi.org/10.1016/j.ememar.2022.100891openalex-snapshot
Machine learning portfolios with equal risk contributions: Evidence from the Brazilian market
inferred← citeshttps://doi.org/10.1016/j.ememar.2022.100906openalex-snapshot
Factor investing in Brazil: Diversifying across factor tilts and allocation strategies
inferred← citeshttps://doi.org/10.1016/j.eswa.2019.01.054openalex-snapshot
Portfolio allocation with the TODIM method
inferred← citeshttps://doi.org/10.1016/j.eswa.2021.115060openalex-snapshot
Robo-advisor using genetic algorithm and BERT sentiments from tweets for hybrid portfolio optimisation
inferred← citeshttps://doi.org/10.1016/j.eswa.2022.116598openalex-snapshot
Company classification using machine learning
inferred← citeshttps://doi.org/10.1016/j.eswa.2022.118739openalex-snapshot
Dynamic portfolio optimization with inverse covariance clustering
inferred← citeshttps://doi.org/10.1016/j.eswa.2025.128633openalex-snapshot
Multi-hypothesis prediction for portfolio optimization: A structured ensemble learning approach to risk diversification
inferred← citeshttps://doi.org/10.1016/j.eswa.2025.130304openalex-snapshot
Risk mitigation through noise reduction in hierarchical portfolio selection
inferred← citeshttps://doi.org/10.1016/j.finmar.2013.07.004openalex-snapshot
How should individual investors diversify? An empirical evaluation of alternative asset allocation policies
inferred← citeshttps://doi.org/10.1016/j.forsciint.2022.111386openalex-snapshot
A multivariate extension to the standard 4σ criterion for comparison of forensic glass evidence
inferred← citeshttps://doi.org/10.1016/j.frl.2008.09.001openalex-snapshot
Estimation error in the average correlation of security returns and shrinkage estimation of covariance and correlation matrices
inferred← citeshttps://doi.org/10.1016/j.frl.2017.10.009openalex-snapshot
A parametric bootstrap to evaluate portfolio allocation models
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