122 citations · 179 across the 3 of their papers we have counts for
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q-fin.PM2019
Sparsity and Stability for Minimum-Variance Portfolios
Sven Husmann, Antoniya Shivarova, Rick Steinert
The popularity of modern portfolio theory has decreased among practitioners because of its unfavorable out-of-sample performance. Estimation errors tend to affect the optimal weigh…
q-fin.PM2019
Cross-validated covariance estimators for high-dimensional minimum-variance portfolios
Sven Husmann, Antoniya Shivarova, Rick Steinert
The global minimum-variance portfolio is a typical choice for investors because of its simplicity and broad applicability. Although it requires only one input, namely the covarianc…