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Title: High dimensional estimator of the maximum Sharpe ratio with and without short sales
Authors: Li, Qinyu
Keywords: Science::Mathematics
Issue Date: 2020
Publisher: Nanyang Technological University
Abstract: A cross-validated weighted estimator is proposed for the population maximum Sharpe ratio with and without short sales. The estimator is an optimal linear combination of a factor analysis-based estimator and a linear shrinkage estimator, which is expected to remain competitive in various covariance structures. Simulation results imply that the weighted estimator outperforms at least one of its constituting estimators under certain covariance structure and the difference is significant, especially when the dimension is large or close to the sample size.
Schools: School of Physical and Mathematical Sciences 
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:SPMS Student Reports (FYP/IA/PA/PI)

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