期刊论文

Wen, Fenghua

英文

Finance Research Letters

1544-6123

2018

27

46-52

10.1016/j.frl.2018.02.026

NSF of ChinaNational Natural Science Foundation of China (NSFC) [71771030, 11301041, 71431008, 71471020, 71671018]; Hunan International Economic and Project Management [17IEPM01]; Scientific Research Fund of Hunan Provincial Education DepartmentHunan Provincial Education Department [16B005]

本校为第一机构

Parameter uncertainty and estimation errors often cause the presence of unstable asset weights and the poor performance of portfolio model. In addition, in the real world, most investors prefer to choose a small number of stocks to invest. In this paper, we propose some improved sparse and stable portfolio models by combining the shrinkage method and objective function L1 regularization method. An ‘optimal’ shrinkage constant is obtained by minimizes the expected distance between the shrinkage estimator and the true covariance matrix. Moreove...