Details about Gianluca Fabio De Nard

Access statistics for papers by Gianluca Fabio De Nard.

Last updated 2025-10-13. Update your information in the RePEc Author Service.

Short-id: pde1427

Working Papers

2025

1. AI shrinkage: a data-driven approach for risk-optimized portfolios
   ECON - Working Papers, Department of Economics - University of Zurich
2. Low risk, high variability: practical guide for portfolio construction
   ECON - Working Papers, Department of Economics - University of Zurich

2024

3. Factor mimicking portfolios for climate risk
   ECON - Working Papers, Department of Economics - University of Zurich View citations (4)
   See also Journal Article Factor-Mimicking Portfolios for Climate Risk, Financial Analysts Journal, Taylor & Francis Journals (2024) View citations (3) (2024)

2023

4. Improved inference in financial factor models
   ECON - Working Papers, Department of Economics - University of Zurich View citations (1)
   See also Journal Article Improved inference in financial factor models, International Review of Economics & Finance, Elsevier (2023) View citations (1) (2023)

2022

5. Large dynamic covariance matrices: enhancements based on intraday data
   ECON - Working Papers, Department of Economics - University of Zurich View citations (2)
   See also Journal Article Large dynamic covariance matrices: Enhancements based on intraday data, Journal of Banking & Finance, Elsevier (2022) View citations (13) (2022)

2018

6. Factor models for portfolio selection in large dimensions: the good, the better and the ugly
   ECON - Working Papers, Department of Economics - University of Zurich View citations (6)
   See also Journal Article Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly, Journal of Financial Econometrics, Oxford University Press (2021) View citations (35) (2021)

Journal Articles

2024

1. Factor-Mimicking Portfolios for Climate Risk
   Financial Analysts Journal, 2024, 80, (3), 37-58 View citations (3)
   See also Working Paper Factor mimicking portfolios for climate risk, ECON - Working Papers (2024) View citations (4) (2024)

2023

2. Improved inference in financial factor models
   International Review of Economics & Finance, 2023, 86, (C), 364-379 View citations (1)
   See also Working Paper Improved inference in financial factor models, ECON - Working Papers (2023) View citations (1) (2023)
3. Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices
   Journal of Empirical Finance, 2023, 72, (C), 23-35 View citations (2)

2022

4. A large-dimensional test for cross-sectional anomalies:Efficient sorting revisited
   International Review of Economics & Finance, 2022, 80, (C), 654-676
5. Large dynamic covariance matrices: Enhancements based on intraday data
   Journal of Banking & Finance, 2022, 138, (C) View citations (13)
   See also Working Paper Large dynamic covariance matrices: enhancements based on intraday data, ECON - Working Papers (2022) View citations (2) (2022)
6. Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage
   (Eigenvalue Ratio Test for the Number of Factors)
   Journal of Financial Econometrics, 2022, 20, (4), 569-611 View citations (4)
7. Subsampled factor models for asset pricing: The rise of Vasa
   Journal of Forecasting, 2022, 41, (6), 1217-1247 View citations (1)

2021

8. Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly
   (Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-frequency Data)
   Journal of Financial Econometrics, 2021, 19, (2), 236-257 View citations (35)
   See also Working Paper Factor models for portfolio selection in large dimensions: the good, the better and the ugly, ECON - Working Papers (2018) View citations (6) (2018)