摘要
A factor analysis-based approach for estimating high dimensional covariance matrix is proposed and is applied to solve the mean-variance portfolio optimization problem in finance. The consistency of the proposed estimator is established by imposing a factor model structure with a relative weak assumption on the relationship between the dimension and the sample size. Numerical results indicate that the proposed estimator outperforms the plug-in, linear shrinkage and bootstrap-corrected approaches.
原文 | ???core.languages.en_GB??? |
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頁(從 - 到) | 140-159 |
頁數 | 20 |
期刊 | Journal of Multivariate Analysis |
卷 | 133 |
DOIs | |
出版狀態 | 已出版 - 1 1月 2015 |