Portfolio optimisation via strategy-specific eigenvector shrinkage

DOI10.1007/S00780-025-00566-4MaRDI QIDQ6965579zbMATH OpenFDO

Authors Lisa R. Goldberg, Hubeyb Gurdogan, Alec Kercheval

Publication date 3 July 2025

Published in Finance and Stochastics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S00780-025-00566-4

zbMATH Keywords

eigenvector estimationhigh dimensionJames-Steinportfolio optimisation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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