This paper constructs an estimator for the number of common factors in a setting where both
the sampling frequency and the number of variables increase. Empirically, we document that …

The risk of a large portfolio is often estimated by substituting a good estimator of the volatility
matrix. However, the accuracy of such a risk estimator is largely unknown. We study factor …

This paper studies the mean-variance (MV) portfolio problems under static and dynamic
settings, particularly for the case in which the number of assets (p) is larger than the number …

In this paper, we consider using profit/loss histories of multiple automated trading systems
(ATSs) as N input variables in portfolio management. By means of multivariate statistical …

The Merton problem determines the optimal intertemporal portfolio choice by maximizing the
expected utility and is the basis of modern portfolio theory in continuous-time finance …

From the autoregressive representation of the portfolio-variance optimization problem, we
derive a novel model for conditional portfolio weights as a linear function of past conditional …

We consider an investor in a financial market consisting of a riskless bond and several risky
assets. The price processes of the risky assets are geometric Brownian motions where either …

This paper proposes a self-calibrated sparse learning approach for estimating a sparse
target vector, which is a product of a precision matrix and a vector, and investigates its …

We consider an investor who faces parameter uncertainty in a continuous-time financial
market. We model the investor's preference by a power utility function leading to constant …

This paper studies the mean-variance (MV) portfolio problems under static and dynamic
settings, particularly for the case that the number of assets (p) is larger than the number of …