Bai, Zhidong; Li, Hua; McAleer, Michael; Wong, Wing-Keung - 2016
.We analyze the traditional Markowitz mean-variance (MV) portfolio by large dimension matrix theory, and find the spectral … expressions of the expected return and risk on the MV portfolio, the population covariance matrix is always a quadratic form …-corrected covariance matrix, and explain the superior performance to the sample covariance as the dimension increases to infinity …