High dimensional estimator of the maximum Sharpe ratio with and without short sales
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...
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| Format: | Final Year Project |
| Language: | English |
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Nanyang Technological University
2020
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| Online Access: | https://hdl.handle.net/10356/140169 |
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| Institution: | Nanyang Technological University |
| Language: | English |