Short Positions in the First Principal Component Portfolio

DOI10.1080/10920277.2017.1387573MaRDI QIDQ4567946zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

first principal component portfolioinsurance companiesinvestment strategy

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

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Cites work

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

Cited in

(2)

• Correlation matrices with the Perron Frobenius property
• Principal eigenportfolios for U.S. equities

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