Fan, Jianqing; Li, Yingying; Yu, Ke - In: Journal of the American Statistical Association 107 (2012) 497, pp. 412-428
Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of portfolios selection among a vast pool of assets, as demonstrated by Fan, Zhang, and Yu. The required high-dimensional volatility matrix can be estimated by using high-frequency...