High dimensional mean-variance optimization through factor analysis

DOI10.1016/J.JMVA.2014.09.006MaRDI QIDQ476227zbMATH OpenOpenAlexFDO

Authors Binbin Chen, Shih-Feng Huang, Guangming Pan

Publication date 28 November 2014

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2014.09.006

zbMATH Keywords

factor modelmean-variance optimizationoptimal portfolio allocation

Mathematics Subject Classification ID

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)

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Cites work

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Cited in

(9)

• High dimensional minimum variance portfolio estimation under statistical factor models
• Integrating prediction in mean-variance portfolio optimization
• On a DC-optimization-problem from statistical factor analysis
• Directed principal component analysis
• A stochastic volatility factor model of Heston type. Statistical properties and estimation
• High dimensional covariance matrix estimation using a factor model
• Comparison among high dimensional covariance matrix estimation methods
• Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios
• Large dynamic covariance matrix estimation with an application to portfolio allocation: a semiparametric reproducing kernel Hilbert space approach

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