ERSE rotates paired eigenvectors of the sample correlation matrix toward the uniform vector and re-estimates eigenvalues, cutting out-of-sample GMV portfolio variance for positively correlated assets by about 10-12% relative to linear and nonlinear shrinkage benchmarks.
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
econ.EM 1years
2025 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
Covariance Matrix Estimation for Positively Correlated Assets
ERSE rotates paired eigenvectors of the sample correlation matrix toward the uniform vector and re-estimates eigenvalues, cutting out-of-sample GMV portfolio variance for positively correlated assets by about 10-12% relative to linear and nonlinear shrinkage benchmarks.