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

Full work available at URL https://doi.org/10.1007/S10479-024-06340-7

zbMATH Keywords

factor modelshigh-dimensional covariance estimationJames-Stein estimationmean-variance portfolio optimizationprincipal component analysisshrinkagevolatility ratio

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites work

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Cited in

(1)

• Portfolio optimisation via strategy-specific eigenvector shrinkage

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