A linear programming model for selection of sparse high-dimensional multiperiod portfolios

• المؤلفون الرئيسيون: Pun, Chi Seng, Wong, Hoi Ying
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2018
• الموضوعات: Investment Analysis; High-dimensional Portfolio Selection; DRNTU::Science::Mathematics
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/87897; http://hdl.handle.net/10220/46617

This paper studies the mean-variance (MV) portfolio problems under static and dynamic settings, particularly for the case in which the number of assets (p) is larger than the number of observations (n). We prove that the classical plug-in estimation seriously distorts the optimal MV portfolio in the...