Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization
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- Li, Hua & Bai, Zhidong & Wong, Wing-Keung & McAleer, Michael, 2022. "Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization," Econometrics and Statistics, Elsevier, vol. 24(C), pages 133-150.
- Bai, Z. & Li, H. & McAleer, M.J. & Wong, W.-K., 2016. "Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization," Econometric Institute Research Papers EI2016-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric 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.
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- Chia-Lin Chang & Michael McALeer & Wing-Keung Wong, 2018. "Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections," Tinbergen Institute Discussion Papers 18-011/III, Tinbergen Institute.
- Chia-Lin Chang & Wing-Keung Wong & Michael McAleer, 2018. "Big data, computational science, economics, finance, marketing, management, and psychology: connections," Documentos de Trabajo del ICAE 2018-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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More about this item
Keywords
Markowitz Mean-Variance Optimization; Optimal Return; Optimal Portfolio Allocation; Large Random Matrix; Bootstrap Method; Spectrally-corrected Covariance Matrix;All these keywords.
JEL classification:
- 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
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2016-05-21 (Risk Management)
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