The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Vast Portfolio Selection With Gross-Exposure Constraints
Open accessAbstract
We introduce the large portfolio selection using gross-exposure constraints. We show that with gross-exposure constraint 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 in Jagannathan and Ma (2003). We also show 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.
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441
Engle, R. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102288618487 · Cited by 7,133
Cited by
Large Covariance Estimation by Thresholding Principal Orthogonal Complements
Fan, J., Liao, Y., & Mincheva, M. (2013) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/rssb.12016 · Cited by 909
Self-citationZouaghia, Z., Kodia, Z., & Ben said, L. (2025) · Knowledge and Information Systems · doi:10.1007/s10115-025-02475-6 · Cited by 16
Metadata
- Authors
- Fan, J., Zhang, J., & Yu, K.
- Venue
- Journal of the American Statistical Association
- Publisher
- Informa UK Limited
- Published
- 2012-06
- Volume
- 107
- Issue
- 498
- Pages
- 592-606
- ISSN
- 0162-1459 (ISSN-L)
- 1537-274X
- OpenAlex
- W2134056163
- Cited by
- 336
- References
- 3
- FWCI
- 22.68
- Type
- journal article
- Language
- en
- Open access
- green
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