Estimating large Markowitz portfolios’ spanning set
Date : Mardi | 2022-12-06 à 12h30 Lieu : Salle des thèses Rosnel Sessinou (HEC Montréal) Estimating large Markowitz portfolios implies estimating high-dimensional moments of stock returns,whose large number increases estimation errors. Thus, managing such large portfolios can be burdensomeas their transaction costs increase with estimation errors. Nevertheless, researchers have recently providedempirical evidence of the sparsity of the mean-variance efficient frontier of the U.S. stock market. Thisresult pleads for applying the canonical parsimony principle in the estimation of Markowitz portfolios.However, […]