High dimensional estimator of the maximum Sharpe ratio with and without short sales

• المؤلف الرئيسي: Li, Qinyu
• مؤلفون آخرون: Pan Guangming
• التنسيق: Final Year Project
• اللغة: English
• منشور في: Nanyang Technological University 2020
• الموضوعات: Science::Mathematics
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/140169
• المؤسسة: Nanyang Technological University

A cross-validated weighted estimator is proposed for the population maximum Sharpe ratio with and without short sales. The estimator is an optimal linear combination of a factor analysis-based estimator and a linear shrinkage estimator, which is expected to remain competitive in various covariance s...