Approaching Mean-Variance Efficiency for Large Portfolios
Approaching Mean-Variance Efficiency for Large Portfolios
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Author / Creator
Publisher
Oxford University Press
Journal title
Language
English
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Publisher
Oxford University Press
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Scope and Contents
Contents
This paper introduces a new approach to constructing optimal mean-variance portfolios. The approach relies on a novel unconstrained regression representation of the mean-variance optimization problem combined with high-dimensional sparse-regression methods. Our estimated portfolio, under a mild sparsity assumption, controls for risk and attains the...
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Full title
Approaching Mean-Variance Efficiency for Large Portfolios
Authors, Artists and Contributors
Author / Creator
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Record Identifier
TN_cdi_crossref_primary_10_1093_rfs_hhy105
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_crossref_primary_10_1093_rfs_hhy105
Other Identifiers
ISSN
0893-9454
E-ISSN
1465-7368
DOI
10.1093/rfs/hhy105
