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,