Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.675092
Title: A dynamic structure for high dimensional covariance matrices and its application in portfolio allocation
Author: Box, John
ISNI:       0000 0004 5370 5856
Awarding Body: University of York
Current Institution: University of York
Date of Award: 2015
Availability of Full Text:
Access from EThOS:
Access from Institution:
Abstract:
Estimation of high dimensional covariance matrices is an interesting and important research topic. In this thesis, we propose a dynamic structure and develop an estimation procedure for high dimensional covariance matrices. Simulation studies are conducted to demonstrate its performance when the sample size is finite. By exploring a financial application, an empirical study shows that portfolio allocation based on dynamic high dimensional covariance matrices can significantly outperform the market from 1995 to 2014. Our proposed method also outperforms portfolio allocation based on the sample covariance matrix and the portfolio allocation proposed in Fan, Fan, Lv (2008).
Supervisor: Box, John Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.675092  DOI: Not available
Share: