Sample Eigenvalues Adjustment for Portfolio Performance Improvement under Factor Models

We identify a few sample eigenvalues adjustment patterns that lead to an improvement in the out-of-sample portfolio Sharpe ratio when the population covariance matrix admits a high-dimensional factor model. These patterns unveil the key to portfolio performance improvement and shed light on the effectiveness of a few well-known covariance matrix estimation methods which were not designed to improve the out-of-sample portfolio performance

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Year of publication:	2018
Authors:	Guo, Danqiao
Other Persons:	Weng, Chengguo (contributor) ; Wirjanto, Tony S. (contributor)
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Portfolio-Management \| Portfolio selection \| Stichprobenerhebung \| Sampling \| Faktorenanalyse \| Factor analysis \| Theorie \| Theory

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Extent:	1 Online-Ressource (32 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 2018 erstellt
Other identifiers:	10.2139/ssrn.2959808 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012934129