Factor Models For Portfolio Selection in Large Dimensions

Factor Models for Portfolio Selection in Large Dimensions

Factor models have a long history in finance, with wide range of applications both in theory and in practice. Examples of theoretical applications are asset ...

Factor Models for Portfolio Selection in Large Dimensions - SSRN

It displays superior all-around performance on historical data against a variety of state-of-the-art competitors, including static factor models ...

Factor models for portfolio selection in large dimensions - Zora.uzh.ch

It displays superior all-around performance on historical data against a variety of state-of-the-art competitors, including static factor models, exogenous ...

Factor Models for Portfolio Selection in Large Dimensions

This paper injects factor structure into the estimation of time-varying, large-dimensional covariance matrices of stock returns. Existing factor models ...

[PDF] Factor Models for Portfolio Selection in Large Dimensions

This paper injects factor structure into the estimation of time-varying, large-dimensional covariance matrices of stock returns. Existing factor models ...

Factor Models for Portfolio Selection in Large Dimensions

Abstract. This paper injects factor structure into the estimation of time-varying, large-dimensional covariance matrices of stock returns. Existing factor ...

Factor Models for Portfolio Selection in Large Dimensions - a-z.lu

Abstract This paper injects factor structure into the estimation of time-varying, large-dimensional covariance matrices of stock returns.

Factor models for portfolio selection in large dimensions

Abstract. This paper injects factor structure into the estimation of time-varying, large-dimensional covariance matrices of stock returns. Existing factor ...

Factor Models For Portfolio Selection in Large Dimensions - Scribd

This paper examines the usefulness of factor models for estimating large-dimensional covariance matrices to be used for Markowitz portfolio selection.

Factor models for portfolio selection in large dimensions - Zora.uzh.ch

This paper injects factor structure into the estimation of time-varying, large-dimensional covariance matrices of stock returns. Existing factor ...

Large Portfolios' Risks and High-Dimensional Factor Models

This dissertation explores two important topics on high-dimensional factor models. We first consider the problem of estimating and assessing the risk of a large ...

5 Factor models — MOSEK Portfolio Optimization Cookbook 1.6.0

The purpose of factor models is to impose a structure on financial variables and their covariance matrix by explaining them through a small ...

Portfolio Optimization Using Factor Models - MathWorks

Multifactor models are often used in risk modeling, portfolio management, and portfolio performance attribution. A multifactor model reduces the dimension of ...

High-dimensional portfolio optimization based on tree-structured ...

Certain characteristics are known to predict cross-sectional expected stock returns and risk exposures. We propose a novel portfolio optimization procedure ...

Factor Models in Portfolio and Asset Pricing Theory - SpringerLink

The foundation of modern portfolio theory is the mean–variance portfolio selection approach of Markowitz (Journal of Finance 7:77–91, 1952; Portfolio ...

High-Dimensional Factor Models and the Factor Zoo | NBER

Since the data set is 3-dimensional (characteristics of funds over time), characteristic factors are based on a tensor factor model (TFM) that ...

Large-Dimensional Portfolio Selection with a High-Frequency ...

Large-Dimensional Portfolio Selection with a High-Frequency-Based Dynamic Factor Model · Simon Tranberg Bodilsen · Do you have a job opening that ...

High-Dimensional Portfolio Selection with Cardinality Constraints

The flexibility and the stability of incorporating factor signals for augmenting out-of-sample performances are also demonstrated. Our strategy balances the ...

An Enhanced Factor Model for Portfolio Selection in High Dimensions

Such an enhanced factor (EF) model provides a more comprehensive analysis for portfolio selection in high dimensions and also has certain advantages of ...

Machine Learning and Factor-Based Portfolio Optimization*

Factor models for portfolio selection in large dimensions: The good ... Asset allocation with a high dimensional latent factor stochastic volatility model.