High dimensional mean-variance optimization through factor analysis

Binbin Chen, Shih Feng Huang, Guangming Pan

研究成果: 雜誌貢獻期刊論文同行評審

5 引文 斯高帕斯(Scopus)

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???
頁(從 - 到)140-159
頁數20
期刊Journal of Multivariate Analysis
133
DOIs
出版狀態已出版 - 1 1月 2015

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