Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization
Year of publication: |
2016
|
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Authors: | Bai, Zhidong ; Li, Hua ; McAleer, Michael ; Wong, Wing-Keung |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Markowitz Mean-Variance Optimization | Optimal Return | Optimal Portfolio Allocation | Large Random Matrix | Bootstrap Method | Spectrally-corrected Covariance Matrix |
Series: | Tinbergen Institute Discussion Paper ; 16-025/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 857739891 [GVK] hdl:10419/145332 [Handle] RePEc:tin:wpaper:20160025 [RePEc] |
Classification: | C13 - Estimation ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G11 - Portfolio Choice |
Source: |
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