Residential Collegefalse
Status已發表Published
Improving minimum-variance portfolios by alleviating overdispersion of eigenvalues
Shi, Fangquan1; Shu, Lianjie1; Yang, Aijun2; He, Fangyi3
2020-12-01
Source PublicationJournal of Financial and Quantitative Analysis
ABS Journal Level4
ISSN0022-1090
Volume55Issue:8Pages:2700-2731
Abstract

In portfolio risk minimization, the inverse covariance matrix of returns is often unknown and has to be estimated in practice. Yet the eigenvalues of the sample covariance matrix are often overdispersed, leading to severe estimation errors in the inverse covariance matrix. To deal with this problem, we propose a general framework by shrinking the sample eigenvalues based on the Schatten norm. The proposed framework has the advantage of being computationally efficient as well as structure-free. The comparative studies show that our approach behaves reasonably well in terms of reducing out-of-sample portfolio risk and turnover.

DOI10.1017/S0022109019000899
URLView the original
Indexed BySSCI
Language英語English
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance ; Economics
WOS IDWOS:000590302100010
Scopus ID2-s2.0-85074500207
Fulltext Access
Citation statistics
Cited Times [WOS]:4   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionDEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT
Corresponding AuthorShu, Lianjie
Affiliation1.University of Macau, Faculty of Business Administration, Macao
2.Nanjing Forest University, College of Economics and Management, Macao
3.Southwestern University of Finance, Economics School of Finance, China
First Author AffilicationFaculty of Business Administration
Corresponding Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Shi, Fangquan,Shu, Lianjie,Yang, Aijun,et al. Improving minimum-variance portfolios by alleviating overdispersion of eigenvalues[J]. Journal of Financial and Quantitative Analysis,2020,55(8):2700-2731.
APA Shi, Fangquan,Shu, Lianjie,Yang, Aijun,&He, Fangyi.(2020).Improving minimum-variance portfolios by alleviating overdispersion of eigenvalues.Journal of Financial and Quantitative Analysis,55(8),2700-2731.
MLA Shi, Fangquan,et al."Improving minimum-variance portfolios by alleviating overdispersion of eigenvalues".Journal of Financial and Quantitative Analysis 55.8(2020):2700-2731.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Shi, Fangquan]'s Articles
[Shu, Lianjie]'s Articles
[Yang, Aijun]'s Articles
Baidu academic
Similar articles in Baidu academic
[Shi, Fangquan]'s Articles
[Shu, Lianjie]'s Articles
[Yang, Aijun]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Shi, Fangquan]'s Articles
[Shu, Lianjie]'s Articles
[Yang, Aijun]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.