Regularized factor portfolio for cross-sectional multifactor models

DOI10.1007/s13171-020-00201-8OpenAlexW3025294563MaRDI QIDQ2082324

Shangbing Yu, Mian Huang, Weixin Yao

Publication date: 4 October 2022

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-020-00201-8

zbMATH Keywords

portfolio selectionsparsitygeneralized thresholdingcovariance shrinkage estimationGross-exposure constraint

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric inference under constraints (62F30)

Cites Work

• The Adaptive Lasso and Its Oracle Properties
• A well-conditioned estimator for large-dimensional covariance matrices
• Dominating estimators for minimum-variance portfolios
• Covariance regularization by thresholding
• Constructing optimal sparse portfolios using regularization methods
• Regularized estimation of large covariance matrices
• Sparse and stable Markowitz portfolios
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Vast Portfolio Selection With Gross-Exposure Constraints
• High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators
• Generalized Thresholding of Large Covariance Matrices

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