EconPapers    
Economics at your fingertips  
 

Vast Portfolio Selection With Gross-Exposure Constraints

Jianqing Fan, Jingjin Zhang and Ke Yu

Journal of the American Statistical Association, 2012, vol. 107, issue 498, 592-606

Abstract: This article introduces the large portfolio selection using gross-exposure constraints. It shows that with gross-exposure constraints, the empirically selected optimal portfolios based on estimated covariance matrices have similar performance to the theoretical optimal ones and there is no error accumulation effect from estimation of vast covariance matrices. This gives theoretical justification to the empirical results by Jagannathan and Ma. It also shows that the no-short-sale portfolio can be improved by allowing some short positions. The applications to portfolio selection, tracking, and improvements are also addressed. The utility of our new approach is illustrated by simulation and empirical studies on the 100 Fama--French industrial portfolios and the 600 stocks randomly selected from Russell 3000.

Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (124)

Downloads: (external link)
http://hdl.handle.net/10.1080/01621459.2012.682825 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:jnlasa:v:107:y:2012:i:498:p:592-606

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/UASA20

DOI: 10.1080/01621459.2012.682825

Access Statistics for this article

Journal of the American Statistical Association is currently edited by Xuming He, Jun Liu, Joseph Ibrahim and Alyson Wilson

More articles in Journal of the American Statistical Association from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst (chris.longhurst@tandf.co.uk).

 
Page updated 2025-01-07
Handle: RePEc:taf:jnlasa:v:107:y:2012:i:498:p:592-606