Some properties of portfolios constructed from principal components of asset returns

DOI10.1007/S10436-022-00412-ZMaRDI QIDQ2103515zbMATH OpenOpenAlexFDO

Authors Thomas Severini

Publication date 14 December 2022

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-022-00412-z

zbMATH Keywords

factor modelsdimension reductionportfolio theoryefficient frontierminimum-risk frontier

Mathematics Subject Classification ID

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

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Cites work

• A well-conditioned estimator for large-dimensional covariance matrices
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Equilibrium asset pricing and the cross section of expected returns
• Linear Statistical Inference and its Applications
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• On the arbitrage pricing theory
• Pricing errors and estimates of risk premia in factor models
• Principal component analysis.
• Statistics and Data Analysis for Financial Engineering

Cited in

(6)

• Application of ICA and PCA to extracting structure from stock return
• Directed principal component analysis
• Principal eigenportfolios for U.S. equities
• Principal component analysis and optimal portfolio
• Sectoral portfolio optimization by judicious selection of financial ratios via PCA
• Optimal allocation of a futures portfolio utilizing numerical market phase detection

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