High Dimensional Minimum Variance Portfolio Estimation

来源 :上海交通大学 | 被引量 : 0次 | 上传用户：villmid

【摘要】

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【作者】

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Tony Cai Jianchang Hu Yingying Li Xinghua Zheng

【机构】

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University of Pennsylvania University of Wisconsi

【出处】

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上海交通大学

【发表日期】

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2016年4期

【关键词】

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High-dimensional data High-frequency data CLIME estimator Minimum variance portf

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　　We study the estimation of high dimensional minimum variance portfolio(MVP).Two settings are considered: the low frequency setting where returns are modeled as i.i.d.,and the high frequency setting where returns can exhibit heteroskedasticity and possibly be contaminated by microstructure noise.We first propose an estimator of the minimum variance,which provides a reference for comparison.

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High Dimensional Minimum Variance Portfolio Estimation

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