Short Positions in the First Principal Component Portfolio

DOI10.1080/10920277.2017.1387573zbMATH Open1393.91129OpenAlexW2790647830MaRDI QIDQ4567946FDOQ4567946

Authors: Phelim Boyle, Shui Feng, David Melkuev, Shuai Yang, Johnew Zhang 

Publication date: 20 June 2018

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2017.1387573

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zbMATH Keywords

investment strategyinsurance companiesfirst principal component portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• A well-conditioned estimator for large-dimensional covariance matrices
• Asymptotic Theory for Principal Component Analysis
• Sign patterns that allow eventual positivity
• Statistical arbitrage in the US equities market
• Positive Weights on the Efficient Frontier

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