Matches in SemOpenAlex for { <https://semopenalex.org/work/W4298052164> ?p ?o ?g. }
Showing items 1 to 76 of
76
with 100 items per page.
- W4298052164 abstract "The expanding number of assets offers more opportunities for investors but poses new challenges for modern portfolio management (PM). As a central plank of PM, portfolio selection by expected utility maximization (EUM) faces uncontrollable estimation and optimization errors in ultrahigh-dimensional scenarios. Past strategies for high-dimensional PM mainly concern only large-cap companies and select many stocks, making PM impractical. We propose a sample-average approximation-based portfolio strategy to tackle the difficulties above with cardinality constraints. Our strategy bypasses the estimation of mean and covariance, the Chinese walls in high-dimensional scenarios. Empirical results on S&P 500 and Russell 2000 show that an appropriate number of carefully chosen assets leads to better out-of-sample mean-variance efficiency. On Russell 2000, our best portfolio profits as much as the equally-weighted portfolio but reduces the maximum drawdown and the average number of assets by 10% and 90%, respectively. The flexibility and the stability of incorporating factor signals for augmenting out-of-sample performances are also demonstrated. Our strategy balances the trade-off among the return, the risk, and the number of assets with cardinality constraints. Therefore, we provide a theoretically sound and computationally efficient strategy to make PM practical in the growing global financial market." @default.
- W4298052164 created "2022-10-01" @default.
- W4298052164 creator A5007989942 @default.
- W4298052164 creator A5028615584 @default.
- W4298052164 creator A5056708826 @default.
- W4298052164 date "2022-09-27" @default.
- W4298052164 modified "2023-09-26" @default.
- W4298052164 title "High Dimensional Portfolio Selection with Cardinality Constraints" @default.
- W4298052164 doi "https://doi.org/10.48550/arxiv.2209.13794" @default.
- W4298052164 hasPublicationYear "2022" @default.
- W4298052164 type Work @default.
- W4298052164 citedByCount "0" @default.
- W4298052164 crossrefType "posted-content" @default.
- W4298052164 hasAuthorship W4298052164A5007989942 @default.
- W4298052164 hasAuthorship W4298052164A5028615584 @default.
- W4298052164 hasAuthorship W4298052164A5056708826 @default.
- W4298052164 hasConcept C105795698 @default.
- W4298052164 hasConcept C106159729 @default.
- W4298052164 hasConcept C124101348 @default.
- W4298052164 hasConcept C126255220 @default.
- W4298052164 hasConcept C149782125 @default.
- W4298052164 hasConcept C154611145 @default.
- W4298052164 hasConcept C154945302 @default.
- W4298052164 hasConcept C15952604 @default.
- W4298052164 hasConcept C162324750 @default.
- W4298052164 hasConcept C185592680 @default.
- W4298052164 hasConcept C187736073 @default.
- W4298052164 hasConcept C198531522 @default.
- W4298052164 hasConcept C202655437 @default.
- W4298052164 hasConcept C2776330181 @default.
- W4298052164 hasConcept C2780598303 @default.
- W4298052164 hasConcept C2780821815 @default.
- W4298052164 hasConcept C33923547 @default.
- W4298052164 hasConcept C41008148 @default.
- W4298052164 hasConcept C43617362 @default.
- W4298052164 hasConcept C74510933 @default.
- W4298052164 hasConcept C81917197 @default.
- W4298052164 hasConcept C87117476 @default.
- W4298052164 hasConceptScore W4298052164C105795698 @default.
- W4298052164 hasConceptScore W4298052164C106159729 @default.
- W4298052164 hasConceptScore W4298052164C124101348 @default.
- W4298052164 hasConceptScore W4298052164C126255220 @default.
- W4298052164 hasConceptScore W4298052164C149782125 @default.
- W4298052164 hasConceptScore W4298052164C154611145 @default.
- W4298052164 hasConceptScore W4298052164C154945302 @default.
- W4298052164 hasConceptScore W4298052164C15952604 @default.
- W4298052164 hasConceptScore W4298052164C162324750 @default.
- W4298052164 hasConceptScore W4298052164C185592680 @default.
- W4298052164 hasConceptScore W4298052164C187736073 @default.
- W4298052164 hasConceptScore W4298052164C198531522 @default.
- W4298052164 hasConceptScore W4298052164C202655437 @default.
- W4298052164 hasConceptScore W4298052164C2776330181 @default.
- W4298052164 hasConceptScore W4298052164C2780598303 @default.
- W4298052164 hasConceptScore W4298052164C2780821815 @default.
- W4298052164 hasConceptScore W4298052164C33923547 @default.
- W4298052164 hasConceptScore W4298052164C41008148 @default.
- W4298052164 hasConceptScore W4298052164C43617362 @default.
- W4298052164 hasConceptScore W4298052164C74510933 @default.
- W4298052164 hasConceptScore W4298052164C81917197 @default.
- W4298052164 hasConceptScore W4298052164C87117476 @default.
- W4298052164 hasLocation W42980521641 @default.
- W4298052164 hasOpenAccess W4298052164 @default.
- W4298052164 hasPrimaryLocation W42980521641 @default.
- W4298052164 hasRelatedWork W1954718630 @default.
- W4298052164 hasRelatedWork W2012616576 @default.
- W4298052164 hasRelatedWork W2119979625 @default.
- W4298052164 hasRelatedWork W2145759167 @default.
- W4298052164 hasRelatedWork W2151437376 @default.
- W4298052164 hasRelatedWork W2261740349 @default.
- W4298052164 hasRelatedWork W2363364691 @default.
- W4298052164 hasRelatedWork W2767141725 @default.
- W4298052164 hasRelatedWork W3123375008 @default.
- W4298052164 hasRelatedWork W1954979215 @default.
- W4298052164 isParatext "false" @default.
- W4298052164 isRetracted "false" @default.
- W4298052164 workType "article" @default.