Portfolio selection revisited

DOI10.1007/S10479-024-06340-7MaRDI QIDQ7008529zbMATH OpenFDO

Authors Alex Shkolnik, Alec Kercheval, Hubeyb Gurdogan, Lisa R. Goldberg, Haim Y. Bar

Publication date 21 March 2025

Published in Annals of Operations Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

factor modelsprincipal component analysisshrinkageJames-Stein estimationmean-variance portfolio optimizationhigh-dimensional covariance estimationvolatility ratio

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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