SHRINKAGE ESTIMATION OF MEAN-VARIANCE PORTFOLIO

DOI10.1142/S0219024916500035zbMath1337.91078OpenAlexW2266901786MaRDI QIDQ2797873

Ngai Hang Chan, Chi Tim Ng, Yan Liu, Samuel Po-Shing Wong

Publication date: 1 April 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024916500035

zbMATH Keywords

investment analysismatrix inequalitiesmean-variance portfolioshrinkage covariance matrix

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (max. 100)

A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION ⋮ On the market price of risk ⋮ MARKOWITZ PORTFOLIO AND THE BLUR OF HISTORY ⋮ MEAN–VARIANCE PORTFOLIO MANAGEMENT WITH FUNCTIONAL OPTIMIZATION

Uses Software

• bootstrap

Cites Work

• Spectral analysis of large dimensional random matrices
• A Mean-Variance Analysis of Self-Financing Portfolios
• ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY
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