High dimensional minimum variance portfolio estimation under statistical factor models
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Publication:2658801
DOI10.1016/j.jeconom.2020.07.013zbMath1471.62493OpenAlexW3081185116MaRDI QIDQ2658801
Yi Ding, Xinghua Zheng, Ying-Ying Li
Publication date: 24 March 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.07.013
Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Related Items (10)
Editorial for the special issue on financial econometrics in the age of the digital economy ⋮ Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions ⋮ Sharpe ratio analysis in high dimensions: residual-based nodewise regression in factor models ⋮ High-Dimensional Portfolio Selection with Cardinality Constraints ⋮ Time-varying minimum variance portfolio ⋮ Principal component analysis and optimal portfolio ⋮ Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices ⋮ Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property ⋮ Recent advances in shrinkage-based high-dimensional inference ⋮ On the mean and variance of the estimated tangency portfolio weights for small samples
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