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Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks
16 references·15 citing·27 second hop
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 2015… and the Cross-Section of Expected Returns2,112 cited
  • 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection1,634 cited
  • 2015Does Academic Research Destroy Stock Return Predictability?1,563 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms1,040 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio946 cited
  • 2005International Stock Return Comovements

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860 cited
  • 2007Optimal Portfolio Choice with Parameter Uncertainty704 cited
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    • 2018Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly105 cited
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    • 2020The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation64 cited
    • 2021Optimal Shrinkage-Based Portfolio Selection in High Dimensions64 cited
    • 2019High-dimensional minimum variance portfolio estimation based on high-frequency data61 cited
    • 2020Enhanced Portfolio Optimization53 cited
    • 2020Estimating the anomaly base rate41 cited
    • 2018Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly40 cited
    • 2022Large dynamic covariance matrices: Enhancements based on intraday data39 cited
    • 2023Why Naive $ 1/N $ Diversification Is Not So Naive, and How to Beat It?36 cited