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q-fin.ST2024★ 3 cited
Consistent Estimation of the High-Dimensional Efficient Frontier
Taras Bodnar, Nikolaus Hautsch, Yarema Okhrin +1
In this paper, we analyze the asymptotic behavior of the main characteristics of the mean-variance efficient frontier employing random matrix theory. Our particular interest covers…
math.ST2024★ 2 cited
Reviving pseudo-inverses: Asymptotic properties of large dimensional Moore-Penrose and Ridge-type inverses with applications
Taras Bodnar, Nestor Parolya
In this paper, we derive high-dimensional asymptotic properties of the Moore-Penrose inverse and, as a byproduct, of various ridge-type inverses of the sample covariance matrix. In…