Chen, Binbin; Huang, Shih-Feng; Pan, Guangming - In: Journal of Multivariate Analysis 133 (2015) C, pp. 140-159
A factor analysis-based approach for estimating high dimensional covariance matrix is proposed and is applied to solve the mean–variance portfolio optimization problem in finance. The consistency of the proposed estimator is established by imposing a factor model structure with a relative weak...