High dimensional mean-variance optimization through factor analysis
DOI10.1016/J.JMVA.2014.09.006zbMATH Open1302.62138OpenAlexW2008943413MaRDI QIDQ476227FDOQ476227
Authors: Binbin Chen, Shih-Feng Huang, Guangming Pan 
Publication date: 28 November 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2014.09.006
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- scientific article; zbMATH DE number 6719853
Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cites Work
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
- High dimensional covariance matrix estimation using a factor model
- Determining the Number of Factors in the General Dynamic Factor Model
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- A well-conditioned estimator for large-dimensional covariance matrices
- Adaptive thresholding for sparse covariance matrix estimation
- Comparison between two types of large sample covariance matrices
- Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
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- Title not available (Why is that?)
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- High-dimensional covariance matrix estimation in approximate factor models
- MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
- New light on the portfolio allocation problem
- Convergence of the largest eigenvalue of normalized sample covariance matrices when \(p\) and \(n\) both tend to infinity with their ratio converging to zero
- MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET
- MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING
- CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS
Cited In (9)
- Integrating prediction in mean-variance portfolio optimization
- High dimensional minimum variance portfolio estimation under statistical factor models
- On a DC-optimization-problem from statistical factor analysis
- Directed principal component analysis
- A stochastic volatility factor model of Heston type. Statistical properties and estimation
- High dimensional covariance matrix estimation using a factor model
- Comparison among high dimensional covariance matrix estimation methods
- Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios
- Large dynamic covariance matrix estimation with an application to portfolio allocation: a semiparametric reproducing kernel Hilbert space approach
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