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Events by date

Wednesday, November 21, 2018

Wednesday, November 21, 2018 — 4:00 PM EST

Eigen Portfolio Selection: A Robust Approach to Sharpe Ratio Maximization

We show that even when a covariance matrix is poorly estimated, it is still possible to obtain a robust maximum Sharpe ratio portfolio by exploiting the uneven distribution of estimation errors across principal components. This is accomplished by approximating an investor’s view on future asset returns using a few relatively accurate sample principal components. We discuss two approximation methods. The first method leads to a subtle connection to existing approaches in the literature; while the second one is novel and able to address main shortcomings of existing methods. 

  

** Pizza & refreshments will be provided **

Everyone welcome!

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