摘要： A factor analysis-based approach for estimating high dimensional covariance matrix is proposed and is applied to solve the mean–variance portfolio optimization problem in finance. The consistency of the proposed estimator is established by imposing a factor model structure with a relative weak assumption on the relationship between the dimension and the sample size. Numerical results indicate that the proposed estimator outperforms the plug-in, linear shrinkage and bootstrap-corrected approaches. 出版者： New York: Elsevier Inc 出版日期： 2015-01 出處： Journal of multivariate analysis, 2015-01, Vol.133, p.140-159 資源來源： Elsevier ScienceDirect Journals Complete 版權： 2014 Elsevier Inc. 版權： Copyright Taylor & Francis Group Jan 2015 識別號： ISSN: 0047-259X 識別號： EISSN: 1095-7243 識別號： DOI: 10.1016/j.jmva.2014.09.006 識別號： CODEN: JMVAAI
