Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization
Download full text from publisher
Other versions of this item:
- Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2016. "Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization," Tinbergen Institute Discussion Papers 16-025/III, Tinbergen Institute.
- Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2016. "Spectrally-corrected estimation for high-dimensional markowitz mean-variance optimization," Documentos de Trabajo del ICAE 2017-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
References listed on IDEAS
- Ledoit, Olivier & Wolf, Michael, 2004.
"A well-conditioned estimator for large-dimensional covariance matrices,"
Journal of Multivariate Analysis,
Elsevier, vol. 88(2), pages 365-411, February.
- Ledoit, Olivier & Wolf, Michael, 2000. "A well conditioned estimator for large dimensional covariance matrices," DES - Working Papers. Statistics and Econometrics. WS 10087, Universidad Carlos III de Madrid. Departamento de Estadística.
- Frankfurter, George M. & Phillips, Herbert E. & Seagle, John P., 1971. "Portfolio Selection: The Effects of Uncertain Means, Variances, and Covariances," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(05), pages 1251-1262, December.
- Markowitz, Harry M & Perold, Andre F, 1981. "Portfolio Analysis with Factors and Scenarios," Journal of Finance, American Finance Association, vol. 36(4), pages 871-877, September.
- Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-278, July.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
- Bob Korkie & Harry J. Turtle, 2002. "A Mean-Variance Analysis of Self-Financing Portfolios," Management Science, INFORMS, vol. 48(3), pages 427-443, March.
- Frederick Wong, 2003. "Efficient estimation of covariance selection models," Biometrika, Biometrika Trust, vol. 90(4), pages 809-830, December.
- Leung, Pui-Lam & Ng, Hon-Yip & Wong, Wing-Keung, 2012. "An improved estimation to make Markowitz’s portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment," European Journal of Operational Research, Elsevier, vol. 222(1), pages 85-95.
- Yusif Simaan, 1997. "Estimation Risk in Portfolio Selection: The Mean Variance Model Versus the Mean Absolute Deviation Model," Management Science, INFORMS, vol. 43(10), pages 1437-1446, October.
- Merton, Robert C., 1972. "An Analytic Derivation of the Efficient Portfolio Frontier," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(04), pages 1851-1872, September.
- Kroll, Yoram & Levy, Haim & Markowitz, Harry M, 1984. " Mean-Variance versus Direct Utility Maximization," Journal of Finance, American Finance Association, vol. 39(1), pages 47-61, March.
- Markowitz, Harry M, 1991. " Foundations of Portfolio Theory," Journal of Finance, American Finance Association, vol. 46(2), pages 469-477, June.
- Silverstein, J. W. & Bai, Z. D., 1995. "On the Empirical Distribution of Eigenvalues of a Class of Large Dimensional Random Matrices," Journal of Multivariate Analysis, Elsevier, vol. 54(2), pages 175-192, August.
- Cass, David & Stiglitz, Joseph E., 1970. "The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds," Journal of Economic Theory, Elsevier, vol. 2(2), pages 122-160, June.
- Fan, Jianqing & Fan, Yingying & Lv, Jinchi, 2008. "High dimensional covariance matrix estimation using a factor model," Journal of Econometrics, Elsevier, vol. 147(1), pages 186-197, November.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018.
"Management Information, Decision Sciences, and Financial Economics: A Connection,"
Tinbergen Institute Discussion Papers
18-004/III, Tinbergen Institute.
- Chang, C-L. & McAleer, M.J. & Wong, W.-K., 2018. "Management Information, Decision Sciences, and Financial Economics : a connection," Econometric Institute Research Papers 2018-004/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2016.
"Management science, economics and finance: A connection,"
Documentos de Trabajo del ICAE
2016-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2016. "Management Science, Economics and Finance: A Connection," Tinbergen Institute Discussion Papers 16-040/III, Tinbergen Institute.
- Chang, C-L. & McAleer, M.J. & Wong, W.-K., 2016. "Management Science, Economics and Finance: A Connection," Econometric Institute Research Papers EI2016-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Bai, Zhidong & Liu, Huixia & Wong, Wing-Keung, 2016. "Making Markowitz's Portfolio Optimization Theory Practically Useful," MPRA Paper 74360, University Library of Munich, Germany.
More about this item
KeywordsMarkowitz Mean-Variance Optimization; Optimal Return; Optimal Portfolio Allocation; Large Random Matrix; Bootstrap Method; Spectrally-corrected Covariance Matrix;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-05-14 (All new papers)
- NEP-ECM-2016-05-14 (Econometrics)
- NEP-RMG-2016-05-14 (Risk Management)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ems:eureir:80106. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (RePub). General contact details of provider: http://edirc.repec.org/data/feeurnl.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.