Vast Portfolio Selection With Gross-Exposure Constraints

doi:10.1080/01621459.2012.682825

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	Vast Portfolio Selection With Gross-Exposure Constraints
	Fan, Jianqing 1,2; Zhang, Jingjin 3; Yu, Ke 4
刊名	JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
	2012-06
卷号	107 期号:498 页码:592-606
关键词	Mean-variance efficiency Portfolio improvement Portfolio optimization Risk assessment Risk optimization Short-sale constraint
ISSN号	0162-1459
DOI	10.1080/01621459.2012.682825
英文摘要	This article introduces the large portfolio selection using gross-exposure constraints. It shows that with gross-exposure constraints, the empirically selected optimal portfolios based on estimated covariance matrices have similar performance to the theoretical optimal ones and there is no error accumulation effect from estimation of vast covariance matrices. This gives theoretical justification to the empirical results by Jagannathan and Ma. It also shows that the no-short-sale portfolio can be improved by allowing some short positions. The applications to portfolio selection, tracking, and improvements are also addressed. The utility of our new approach is illustrated by simulation and empirical studies on the 100 Fama-French industrial portfolios and the 600 stocks randomly selected from Russell 3000.
WOS研究方向	Mathematics
语种	英语
出版者	AMER STATISTICAL ASSOC
WOS记录号	WOS:000307490500015
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2139]
专题	上海财经大学
通讯作者	Fan, Jianqing
作者单位	1.Princeton Univ, Dept Operat Res & Financial Engn, Princeton, NJ 08540 USA; 2.Shanghai Univ Econ & Finance, Dept Stat, Shanghai, Peoples R China; 3.McKinsey & Co Inc, Shanghai, Peoples R China; 4.JPMorgan Chase & Co, Singapore, Singapore
推荐引用方式 GB/T 7714	Fan, Jianqing,Zhang, Jingjin,Yu, Ke. Vast Portfolio Selection With Gross-Exposure Constraints[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,2012,107(498):592-606.
APA	Fan, Jianqing,Zhang, Jingjin,&Yu, Ke.(2012).Vast Portfolio Selection With Gross-Exposure Constraints.JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,107(498),592-606.
MLA	Fan, Jianqing,et al."Vast Portfolio Selection With Gross-Exposure Constraints".JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION 107.498(2012):592-606.