Short Positions in the First Principal Component Portfolio

DOI10.1080/10920277.2017.1387573zbMath1393.91129OpenAlexW2790647830MaRDI QIDQ4567946

Shui Feng, Phelim P. Boyle, Shuai Yang, Johnew Zhang, David Melkuev

Publication date: 20 June 2018

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2017.1387573

zbMATH Keywords

investment strategyinsurance companiesfirst principal component portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites Work

• A well-conditioned estimator for large-dimensional covariance matrices
• Statistical arbitrage in the US equities market
• Sign patterns that allow eventual positivity
• Positive Weights on the Efficient Frontier
• Asymptotic Theory for Principal Component Analysis