TY  - RPRT
AU  - Bai, Zhidong
AU  - Li, Hua
AU  - McAleer, Michael
AU  - Wong, Wing-Keung
PY  - 2017
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/22876
AB  - This paper considers the portfolio problem for high dimensional data when the dimension and size are both large. We analyze the traditional Markowitz mean-variance (MV) portfolio by large dimension matrix theory, and find the spectral distribution of...
LA  - eng
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Markowitz mean-variance optimization
KW  - Optimal return
KW  - Optimal portfolio allocation
KW  - Large random matrix
KW  - Bootstrap method
KW  - Spectrally-corrected covariance matrix.
TI  - Spectrally-corrected estimation for high-dimensional markowitz mean-variance optimization
TY  - technical report
VL  - 2017
ER  -