{"id":"https://openalex.org/W4415180520","doi":"https://doi.org/10.23919/ecc65951.2025.11187151","title":"Enhancing portfolio covariance estimation: a hybrid prediction approach","display_name":"Enhancing portfolio covariance estimation: a hybrid prediction approach","publication_year":2025,"publication_date":"2025-06-24","ids":{"openalex":"https://openalex.org/W4415180520","doi":"https://doi.org/10.23919/ecc65951.2025.11187151"},"language":"en","primary_location":{"id":"doi:10.23919/ecc65951.2025.11187151","is_oa":false,"landing_page_url":"https://doi.org/10.23919/ecc65951.2025.11187151","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2025 European Control Conference (ECC)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5041231437","display_name":"Raffaele Giuseppe Cestari","orcid":null},"institutions":[{"id":"https://openalex.org/I93860229","display_name":"Politecnico di Milano","ror":"https://ror.org/01nffqt88","country_code":"IT","type":"education","lineage":["https://openalex.org/I93860229"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Raffaele G. Cestari","raw_affiliation_strings":["Politecnico di Milano,Department of Electronics, Information, and Bioengineering,Milano,Italy"],"affiliations":[{"raw_affiliation_string":"Politecnico di Milano,Department of Electronics, Information, and Bioengineering,Milano,Italy","institution_ids":["https://openalex.org/I93860229"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5002955784","display_name":"S. Chiodini","orcid":null},"institutions":[{"id":"https://openalex.org/I93860229","display_name":"Politecnico di Milano","ror":"https://ror.org/01nffqt88","country_code":"IT","type":"education","lineage":["https://openalex.org/I93860229"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Stefano Chiodini","raw_affiliation_strings":["Politecnico di Milano,Department of Electronics, Information, and Bioengineering,Milano,Italy"],"affiliations":[{"raw_affiliation_string":"Politecnico di Milano,Department of Electronics, Information, and Bioengineering,Milano,Italy","institution_ids":["https://openalex.org/I93860229"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5059501084","display_name":"Simone Formentin","orcid":"https://orcid.org/0000-0001-6889-6219"},"institutions":[{"id":"https://openalex.org/I93860229","display_name":"Politecnico di Milano","ror":"https://ror.org/01nffqt88","country_code":"IT","type":"education","lineage":["https://openalex.org/I93860229"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Simone Formentin","raw_affiliation_strings":["Politecnico di Milano,Department of Electronics, Information, and Bioengineering,Milano,Italy"],"affiliations":[{"raw_affiliation_string":"Politecnico di Milano,Department of Electronics, Information, and Bioengineering,Milano,Italy","institution_ids":["https://openalex.org/I93860229"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5041231437"],"corresponding_institution_ids":["https://openalex.org/I93860229"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.36009293,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"2303","last_page":"2308"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11801","display_name":"Reservoir Engineering and Simulation Methods","score":0.7972999811172485,"subfield":{"id":"https://openalex.org/subfields/2212","display_name":"Ocean Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T11801","display_name":"Reservoir Engineering and Simulation Methods","score":0.7972999811172485,"subfield":{"id":"https://openalex.org/subfields/2212","display_name":"Ocean Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6780999898910522},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.6481000185012817},{"id":"https://openalex.org/keywords/covariance","display_name":"Covariance","score":0.5952000021934509},{"id":"https://openalex.org/keywords/covariance-matrix","display_name":"Covariance matrix","score":0.5795999765396118},{"id":"https://openalex.org/keywords/predictability","display_name":"Predictability","score":0.5694000124931335},{"id":"https://openalex.org/keywords/weighting","display_name":"Weighting","score":0.453900009393692},{"id":"https://openalex.org/keywords/estimation-of-covariance-matrices","display_name":"Estimation of covariance matrices","score":0.36489999294281006},{"id":"https://openalex.org/keywords/project-portfolio-management","display_name":"Project portfolio management","score":0.3628999888896942}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6780999898910522},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.6481000185012817},{"id":"https://openalex.org/C178650346","wikidata":"https://www.wikidata.org/wiki/Q201984","display_name":"Covariance","level":2,"score":0.5952000021934509},{"id":"https://openalex.org/C185142706","wikidata":"https://www.wikidata.org/wiki/Q1134404","display_name":"Covariance matrix","level":2,"score":0.5795999765396118},{"id":"https://openalex.org/C197640229","wikidata":"https://www.wikidata.org/wiki/Q2534066","display_name":"Predictability","level":2,"score":0.5694000124931335},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5669000148773193},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.46790000796318054},{"id":"https://openalex.org/C183115368","wikidata":"https://www.wikidata.org/wiki/Q856577","display_name":"Weighting","level":2,"score":0.453900009393692},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3743000030517578},{"id":"https://openalex.org/C180877172","wikidata":"https://www.wikidata.org/wiki/Q5401390","display_name":"Estimation of covariance matrices","level":3,"score":0.36489999294281006},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.3628999888896942},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.34439998865127563},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3441999852657318},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.3433000147342682},{"id":"https://openalex.org/C83042196","wikidata":"https://www.wikidata.org/wiki/Q5178898","display_name":"Covariance intersection","level":4,"score":0.3271999955177307},{"id":"https://openalex.org/C185798385","wikidata":"https://www.wikidata.org/wiki/Q1161707","display_name":"Benchmark (surveying)","level":2,"score":0.3118000030517578},{"id":"https://openalex.org/C76073288","wikidata":"https://www.wikidata.org/wiki/Q1337875","display_name":"Financial risk","level":2,"score":0.30230000615119934},{"id":"https://openalex.org/C45804977","wikidata":"https://www.wikidata.org/wiki/Q7239673","display_name":"Predictive modelling","level":2,"score":0.3012999892234802},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.28850001096725464},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2831999957561493},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.28060001134872437},{"id":"https://openalex.org/C205555498","wikidata":"https://www.wikidata.org/wiki/Q505588","display_name":"CMA-ES","level":4,"score":0.28040000796318054},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.2784999907016754},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.2687000036239624},{"id":"https://openalex.org/C2779530757","wikidata":"https://www.wikidata.org/wiki/Q1207505","display_name":"Quality (philosophy)","level":2,"score":0.2669000029563904}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.23919/ecc65951.2025.11187151","is_oa":false,"landing_page_url":"https://doi.org/10.23919/ecc65951.2025.11187151","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2025 European Control Conference (ECC)","raw_type":"proceedings-article"},{"id":"pmh:oai:re.public.polimi.it:11311/1310474","is_oa":false,"landing_page_url":"https://hdl.handle.net/11311/1310474","pdf_url":null,"source":{"id":"https://openalex.org/S4306400312","display_name":"Virtual Community of Pathological Anatomy (University of Castilla La Mancha)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I79189158","host_organization_name":"University of Castilla-La Mancha","host_organization_lineage":["https://openalex.org/I79189158"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/conferenceObject"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":14,"referenced_works":["https://openalex.org/W1558793738","https://openalex.org/W2003898356","https://openalex.org/W2129160848","https://openalex.org/W2923680860","https://openalex.org/W3028354575","https://openalex.org/W3122498654","https://openalex.org/W3125564657","https://openalex.org/W4232111244","https://openalex.org/W4238892808","https://openalex.org/W4245119036","https://openalex.org/W4253163276","https://openalex.org/W4285794683","https://openalex.org/W4388879303","https://openalex.org/W4388975615"],"related_works":[],"abstract_inverted_index":{"Accurate":[0],"estimation":[1],"of":[2,41,91,110,128],"financial":[3,46,111],"portfolio":[4,14,129,136],"covariance":[5,59,104,115,134],"matrix":[6],"is":[7,81],"crucial":[8],"for":[9],"effective":[10],"risk":[11,137],"management":[12],"and":[13,27],"optimization.":[15],"Traditional":[16],"methods,":[17],"such":[18],"as":[19,125,135],"Rolling":[20],"Window,":[21],"Exponentially":[22],"Weighted":[23],"Moving":[24],"Average":[25],"(EWMA),":[26],"Multivariate":[28],"GARCH":[29],"(MGARCH),":[30],"often":[31],"struggle":[32],"in":[33,107],"its":[34],"prediction":[35,60,75,116],"due":[36],"to":[37,73,89,144],"the":[38,42,99,108],"harsh":[39],"predictability":[40],"dynamic":[43],"relationships":[44],"among":[45],"assets":[47],"data.":[48],"This":[49],"paper":[50],"introduces":[51],"a":[52,69,126],"hybrid":[53],"predictor":[54],"that":[55,98],"linearly":[56],"combines":[57],"traditional":[58],"methods":[61],"with":[62],"an":[63],"Expanding":[64],"Window":[65],"(EW)":[66],"model,":[67],"exploiting":[68],"time-varying":[70],"weighting":[71],"mechanism":[72],"enhance":[74],"accuracy.":[76],"The":[77,113],"proposed":[78,100],"method\u2019s":[79],"efficacy":[80],"validated":[82],"on":[83],"actual":[84],"time-series":[85],"data":[86],"from":[87],"2010":[88],"2024":[90],"9":[92],"major":[93],"S&P500":[94],"stocks.":[95],"Results":[96],"show":[97],"strategy":[101],"significantly":[102],"improves":[103],"estimation,":[105],"particularly":[106],"end":[109],"quarters.":[112],"higher":[114],"quality":[117],"directly":[118],"reflects":[119],"into":[120],"more":[121],"accurate":[122],"risk-return":[123],"trade-offs,":[124],"consequence":[127],"optimization":[130],"when":[131],"using":[132],"predicted":[133],"proxy.":[138],"These":[139],"results":[140],"can":[141],"ultimately":[142],"lead":[143],"sharper":[145],"investment":[146],"decisions.":[147]},"counts_by_year":[],"updated_date":"2026-03-29T08:15:47.926485","created_date":"2025-10-15T00:00:00"}