105
Views
2
CrossRef citations to date
0
Altmetric
Research Article

Reactive global minimum variance portfolios with k-BAHC covariance cleaning

&
Pages 1344-1360 | Received 27 May 2020, Accepted 06 Jul 2021, Published online: 19 Aug 2021

References

  • Aielli, Gian Piero. 2013. “Dynamic Conditional Correlation: On Properties and Estimation.” Journal of Business & Economic Statistics 31 (3): 282–299.
  • Bartz, Daniel. 2016. “Cross-validation Based Nonlinear Shrinkage.” arXiv preprint arXiv:1611.00798.
  • Black, Fischer, and Robert B. Litterman. 1991. “Asset Allocation: Combining Investor Views with Market Equilibrium.” The Journal of Fixed Income 1 (2): 7–18.
  • Bongiorno, Christian. 2020. “Bootstraps Regularize Singular Correlation Matrices.” arXiv preprint arXiv:2004.03165.
  • Bongiorno, Christian, and Damien Challet. 2021. “Covariance Matrix Filtering with Bootstrapped Hierarchies.” PloS One 16 (1): e0245092.
  • Bongiorno, Christian, Salvatore Miccichè, and Rosario N. Mantegna. 2019. “Nested Partitions from Hierarchical Clustering Statistical Validation.” arXiv preprint arXiv:1906.06908.
  • Bouchaud, Jean-Philippe, and Marc Potters. 2003. Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management. Cambridge: Cambridge University Press.
  • Bun, Joël, Romain Allez, Jean-Philippe Bouchaud, and Marc Potters. 2016. “Rotational Invariant Estimator for General Noisy Matrices.” IEEE Transactions on Information Theory 62 (12): 7475–7490.
  • Bun, Joël, Jean-Philippe Bouchaud, and Marc Potters. 2017. “Cleaning Large Correlation Matrices: Tools From Random Matrix Theory.” Physics Reports 666: 1–109.
  • Challet, Damien. 2017a. “Sharper Asset Ranking From Total Drawdown Durations.” Applied Mathematical Finance 24 (1): 1–22.
  • Challet, Damien. 2017b. sharpeRratio: Moment-Free Estimation of Sharpe Ratios. R Package Version 1.4.1. https://CRAN.R-project.org/package=sharpeRratio.
  • Duffie, Darrell, and Jun Pan. 1997. “An Overview of Value at Risk.” Journal of Derivatives 4 (3): 7–49.
  • Engle, Robert. 2002. “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models.” Journal of Business & Economic Statistics 20 (3): 339–350.
  • Engle, Robert F., Olivier Ledoit, and Michael Wolf. 2019. “Large Dynamic Covariance Matrices.” Journal of Business & Economic Statistics 37 (2): 363–375. https://doi.org/10.1080/07350015.2017.1345683.
  • Gatheral, Jim, Thibault Jaisson, and Mathieu Rosenbaum. 2018. “Volatility Is Rough.” Quantitative Finance 18 (6): 933–949.
  • Hull, John, and Alan White. 1998. “Value at Risk When Daily Changes in Market Variables Are Not Normally Distributed.” Journal of Derivatives 5: 9–19.
  • Krokhmal, Pavlo, Jonas Palmquist, and Stanislav Uryasev. 2002. “Portfolio Optimization with Conditional Value-at-risk Objective and Constraints.” Journal of Risk 4: 43–68.
  • Ledoit, Olivier, and Michael Wolf. 2012. “Nonlinear Shrinkage Estimation of Large-dimensional Covariance Matrices.” The Annals of Statistics 40 (2): 1024–1060.
  • Markowitz, Harry. 1959. Portfolio Selection: Efficient Diversification of Investments. Vol. 16. New York: John Wiley.
  • Meucci, Attilio, Alberto Santangelo, and Romain Deguest. 2015. “Risk Budgeting and Diversification Based on Optimized Uncorrelated Factors.” doi:10.2139/ssrn.2276632.
  • Michaud, Richard O. 1989. “The Markowitz Optimization Enigma: Is “Optimized” Optimal?” Financial Analysts Journal 45 (1): 31–42.
  • Nakagawa, Kei, and Mitsuyoshi Imamura. 2018. Estimating a (c)DCC-GARCH Model in Large Dimensions. R Package Version 0.1.0. https://cran.r-project.org/package=xdcclarge.
  • Pantaleo, Ester, Michele Tumminello, Fabrizio Lillo, and Rosario N. Mantegna. 2011. “When Do Improved Covariance Matrix Estimators Enhance Portfolio Optimization? An Empirical Comparative Study of Nine Estimators.” Quantitative Finance 11 (7): 1067–1080.
  • Potters, Marc, Jean-Philippe Bouchaud, and Laurent Laloux. 2005. “Financial Applications of Random Matrix Theory: Old Laces and New Pieces.” Acta Physica Polonica B 36: 2767.
  • Reigneron, Pierre-Alain, Vincent Nguyen, Stefano Ciliberti, Philip Seager, and Jean-Philippe Bouchaud. 2020. “Agnostic Allocation Portfolios: A Sweet Spot in the Risk-Based Jungle?” The Journal of Portfolio Management 46 (4): 22–38.
  • Roncalli, Thierry. 2013. Introduction to Risk Parity and Budgeting. Boca Raton, FL: CRC Press.
  • Tan, W. C. Vincent, and Stefan Zohren. 2021. “Large Non-stationary Noisy Covariance Matrices: A Cross-validation Approach.” doi:10.2139/ssrn.3745692.
  • Tumminello, Michele, Fabrizio Lillo, and Rosario N. Mantegna. 2007a. “Hierarchically Nested Factor Model From Multivariate Data.” EPL (Europhysics Letters) 78 (3): 30006.
  • Tumminello, Michele, Fabrizio Lillo, and Rosario N. Mantegna. 2007b. “Kullback-Leibler Distance as a Measure of the Information Filtered From Multivariate Data.” Physical Review E 76 (3): 031123.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.