Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

approximate factor structure arbitrage continuous portfolio costs finance market with many assets mean-variance analysis principal component analysis risk-free investment

Mathematics Subject Classification ID

Cited in

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Endogenous incompleteness of financial markets: the role of ambiguity and ambiguity aversion
Efficient funds for meager asset spaces
On the identifiability of Bayesian factor analytic models
ARCH modeling in finance. A review of the theory and empirical evidence
Aggregation of linear dynamic microeconomic models
On the arbitrage pricing theory
Diversification and equilibrium in securities markets
Factor analysis and arbitrage pricing in large asset economies
Exact arbitrage, well-diversified portfolios and asset pricing in large markets.
Projected estimation for large-dimensional matrix factor models
Adaptive test for mean vectors of high-dimensional time series data with factor structure
On the systematic and idiosyncratic volatility with large panel high-frequency data
Transformed contribution ratio test for the number of factors in static approximate factor models
Robust determination for the number of common factors in the approximate factor models
Simultaneous multiple change-point and factor analysis for high-dimensional time series
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Periodic dynamic factor models: estimation approaches and applications
Optimal shrinkage estimator for high-dimensional mean vector
Large-dimensional factor modeling based on high-frequency observations
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
Factor models for matrix-valued high-dimensional time series
Structured volatility matrix estimation for non-synchronized high-frequency financial data
Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
Ex-post risk premia estimation and asset pricing tests using large cross sections: the regression-calibration approach
A spectral EM algorithm for dynamic factor models
Arbitrage pricing theory and risk-neutral measures
Power-law partial correlation network models
A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models
Quasi maximum likelihood analysis of high dimensional constrained factor models
State space methods in asset pricing
Explaining the single factor bias of arbitrage pricing models in finite samples
Simplified mean-variance portfolio optimisation
In search for yield? Survey-based evidence on bank risk taking
A rank test for the number of factors with high-frequency data
Robust factor number specification for large-dimensional elliptical factor model
On factor models with random missing: EM estimation, inference, and cross validation
Robust high-dimensional factor models with applications to statistical machine learning
Dynamic spatial panel data models with common shocks
Equilibrium asset pricing and the cross section of expected returns
Consistently recovering the signal from noisy functional data
Some properties of portfolios constructed from principal components of asset returns
Preprocessing noisy functional data: a multivariate perspective
Rank determination in tensor factor model
Inference in latent factor regression with clusterable features
Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications
CDPA: common and distinctive pattern analysis between high-dimensional datasets
GARCH-type factor model
Testing the eigenvalue structure of spot and integrated covariance
Efficient estimation of heterogeneous coefficients in panel data models with common shocks
Sequential testing for structural stability in approximate factor models
Estimating latent asset-pricing factors
Consistent estimation of high-dimensional factor models when the factor number is over-estimated
Limiting laws for divergent spiked eigenvalues and largest nonspiked eigenvalue of sample covariance matrices
Statistical analysis of sparse approximate factor models
Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
Bootstrapping factor models with cross sectional dependence
On the market price of risk
A semiparametric latent factor model for large scale temporal data with heteroscedasticity
Consistency of generalized dynamic principal components in dynamic factor models
Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios
Certifiably optimal sparse principal component analysis
Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
Rank regularized estimation of approximate factor models
High-dimensional multivariate realized volatility estimation
A diagnostic criterion for approximate factor structure
Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach
Dynamic factor models with infinite-dimensional factor spaces: one-sided representations
On the sample covariance matrix estimator of reduced effective rank population matrices, with applications to fPCA
Diversified minimum-variance portfolios
Risk bounds for factor models
Large covariance estimation through elliptical factor models
On the penalized maximum likelihood estimation of high-dimensional approximate factor model
The Tracy-Widom limit for the largest eigenvalues of singular complex Wishart matrices
Likelihood stabilization for ill-conditioned vector GARCH models
Editorial: Dynamic factor models
Factor representing portfolios in large asset markets
Sparse PCA: optimal rates and adaptive estimation
Estimation of the number of spikes, possibly equal, in the high-dimensional case
Factor models in high-dimensional time series: A time-domain approach
Risk-neutral valuation with infinitely many trading dates
Consistent variable selection in large panels when factors are observable
Identification theory for high dimensional static and dynamic factor models
A panel data approach to economic forecasting: the bias-corrected average forecast
On the fundamental theorem of asset pricing with an infinite state space
Business cycle and corporate failure in France: Is there a link?
Autoencoder asset pricing models
High dimensional minimum variance portfolio estimation under statistical factor models
Multi-population mortality modeling: when the data is too much and not enough
Factor models with many assets: strong factors, weak factors, and the two-pass procedure
Hidden factor estimation in dynamic generalized factor analysis models
Factor-based imputation of missing values and covariances in panel data of large dimensions
Information criteria for latent factor models: a study on factor pervasiveness and adaptivity
A Likelihood Ratio Test for Idiosyncratic Unit Roots in the Exact Factor Model with Integrated Factors
Factor uniqueness in the S\&P 500 universe: can proprietary factors exist?
Partial Factor Modeling: Predictor-Dependent Shrinkage for Linear Regression
Estimation of common factors under cross-sectional and temporal aggregation constraints
The common and specific components of dynamic volatility
A Lagrange multiplier-type test for idiosyncratic unit roots in the exact factor model
Size, openness, and macroeconomic interdependence
Dynamic linear panel regression models with interactive fixed effects

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