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 […]