Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Cross-validated covariance estimators for high-dimensional
  minimum-variance portfolios   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 covariance matrix of asset returns, estimating the
optimal solution remains a challenge. In the presence of high-dimensionality in
the data, the sample covariance estimator becomes ill-conditioned and leads to
suboptimal portfolios out-of-sample. To address this issue, we review recently
proposed efficient estimation methods for the covariance matrix and extend the
literature by suggesting a multi-fold cross-validation technique for selecting
the necessary tuning parameters within each method. Conducting an extensive
empirical analysis with four datasets based on the S&P 500, we show that the
data-driven choice of specific tuning parameters with the proposed
cross-validation improves the out-of-sample performance of the global
minimum-variance portfolio. In addition, we identify estimators that are
strongly influenced by the choice of the tuning parameter and detect a clear
relationship between the selection criterion within the cross-validation and
the evaluated performance measure.

0
The categories of this paper are: hep-ph
30
The categories of this paper are: q-alg
23
The categories of this paper are: solv-int
10
The categories of this paper are: q-bio
6
The categories of this paper are: astro-ph
31
The categories of this paper are: ao-sci
24
The categories of this paper are: dg-ga
9
The categories of this paper are: nlin
37
The categories of this paper are: supr-con
33
The categories of this paper are: plasm-ph
8
The categories of this paper are: hep-ex
29
The categories of this paper are: funct-an
21
The categories of this paper are: adap-org
34
The categories of this paper are: chem-ph
11
The categories of this paper are: hep-lat
32
The categories of this paper are: atom-ph