Econ Papers Daily / 期刊论文
通用投资组合收缩
Universal Portfolio Shrinkage
摘要
We introduce a nonlinear covariance shrinkage method for building optimal portfolios. Our universal portfolio shrinkage approximator (UPSA) is built from closed-form basis portfolios, is cheap to implement, and improves on existing shrinkage methods. Rather than uniformly penalizing all principal components of returns or discarding low-variance ones, UPSA instead reweights components to explicitly optimize expected out-of-sample portfolio performance. In empirical applications using a large cross-section of anomaly factors, it delivers robust improvements over alternative shrinkage methods in the literature.
中文摘要
我们引入了一种用于构建最优投资组合的非线性协方差收缩方法。我们的通用投资组合收缩逼近器（UPSA）由闭式基准投资组合构建而成，实现成本低廉，并优于现有收缩方法。UPSA并非对所有收益主成分统一施加惩罚或舍弃低方差成分，而是对成分重新加权，以显式优化样本外投资组合的预期表现。在使用大量横截面异象因子的实证应用中，该方法相较文献中的其他收缩方法带来了稳健的改进。