We show that even when a covariance matrix is poorly estimated, it is still possible to obtain a robust maximum Sharpe ratio portfolio by exploiting the uneven distribution of estimation errors across principal components. This is accomplished by approximating an investor's view on future asset...

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...

This paper compares two well-known approaches for valuing a risky investment using real options theory:contingent claims (CC) with risk neutral valuation and dynamic programming (DP) using a constant risk adjusted discount rate.Both approaches have been used in valuing forest assets.A proof is...

In this paper, we explore the use of Independent Component Analysis (ICA) from the field of signal processing to model and estimate the dynamics of multivariate volatilities of financial asset returns in the GARCH framework. The resulting ICA-GARCH approach is shown to provide a computationally...