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Principal Eigenportfolios for U.S. Equities - MaRDI portal

Principal Eigenportfolios for U.S. Equities (Q5092726)

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scientific article; zbMATH DE number 7562470

Language	Label	Description	Also known as
English	Principal Eigenportfolios for U.S. Equities	scientific article; zbMATH DE number 7562470

Statements

scholarly article

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Principal Eigenportfolios for U.S. Equities (English)

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Andrew Papanicolaou

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Marco Avellaneda

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George S. Papanicolaou

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SIAM Journal on Financial Mathematics

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publication date

22 July 2022

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zbMATH Keywords

eigenportfolios

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principal component analysis

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tensor decompositions

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MaRDI profile type

MaRDI publication profile

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Asymptotic Theory for Principal Component Analysis

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Statistical arbitrage in the US equities market

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Inferential Theory for Factor Models of Large Dimensions

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Rank regularized estimation of approximate factor models

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No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices

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Exact separation of eigenvalues of large dimensional sample covariance matrices

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Eigenvalues of large sample covariance matrices of spiked population models

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Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices

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The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices

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Positive Weights on the Efficient Frontier

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Impossible Frontiers

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Cleaning large correlation matrices: tools from random matrix theory

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MULTISCALED CROSS-CORRELATION DYNAMICS IN FINANCIAL TIME-SERIES

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A Multilinear Singular Value Decomposition

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On the distribution of the largest eigenvalue in principal components analysis

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Tensor Decompositions and Applications

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Asymptotics of eigenvalues and unit-length eigenvectors of sample variance and correlation matrices

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Asymptotic expansions for the distributions of statistics based on a correlation matrix

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Eigenvectors of some large sample covariance matrix ensembles

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A well-conditioned estimator for large-dimensional covariance matrices

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Nonlinear shrinkage estimation of large-dimensional covariance matrices

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DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES

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Asymptotics of eigenstructure of sample correlation matrices for high-dimensional spiked models

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Asymptotics of the principal components estimator of large factor models with weakly influential factors

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A General Framework For Consistency of Principal Component Analysis

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On time-varying factor models: estimation and testing

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Asymptotics of empirical eigenstructure for high dimensional spiked covariance

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On the limit of the largest eigenvalue of the large dimensional sample covariance matrix

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full work available at URL

https://doi.org/10.1137/20m1383501

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Identifiers

zbMATH Open document ID

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10.1137/20M1383501

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5092726

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