Estimation of the global minimum variance portfolio in high dimensions

Mathematics

• Variance 100%
• Higher Dimensions 100%
• Covariance Matrix 33%
• Number 33%
• Upper Bound 33%
• Sample 33%
• Random Matrix Theory 33%
• Weaker Assumption 33%
• Type Estimator 33%
• Asymptotic Property 33%
• Sample Variance 33%
• Sample Size 33%
• Minimizing 33%
• Dimensional Case 33%
• Numerical Analysis 33%

INIS

• dimensions 100%
• assets 100%
• distribution 66%
• matrices 66%
• asymptotic solutions 33%
• spectra 33%
• comparative evaluations 33%
• numerical analysis 33%
• randomness 33%
• shrinkage 33%
• size 33%

Keyphrases

• Global Minimum Variance Portfolio 100%
• Asset Returns 66%
• Fourth Moment 33%
• Financial Literature 33%