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16-025/III - Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization


  • Authors
    Zhidong Bai, Northeast Normal University, China; Hua Li, Chang Chun University, China; Michael McAleer, National Tsing Hua University, Hsinchu, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Wing-Keung Wong, Hong Kong Baptist University, China, and Research Grants Council of Hong Kong, Hong Kong
  • Publication date
    April 11, 2016
  • Keywords
    Markowitz Mean-Variance Optimization, Optimal Return, Optimal Portfolio Allocation, Large Random Matrix, Bootstrap Method, Spectrally-corrected Covariance Matrix
  • JEL
    C13, C61, G11,