4 papers
Shrinkage Estimators for Mean and Covariance: Evidence on Portfolio Efficiency Across Market Dimensions
Rupendra Yadav, Amita Sharma, Aparna Mehra
The mean-variance model remains the most prevalent investment framework, built on diversification principles. However, it consistently struggles with estimation errors in expected…
Class of topological portfolios: Are they better than classical portfolios?
Anubha Goel, Amita Sharma, Juho Kanniainen
Topological Data Analysis (TDA), an emerging field in investment sciences, harnesses mathematical methods to extract data features based on shape, offering a promising alternative…
A comprehensive review and analysis of different modeling approaches for financial index tracking problem
Vrinda Dhingra, Amita Sharma, Anubha Goel
Index tracking, also known as passive investing, has gained significant traction in financial markets due to its cost-effective and efficient approach to replicating the performanc…
Sectoral portfolio optimization by judicious selection of financial ratios via PCA
Vrinda Dhingra, Amita Sharma, Shiv K. Gupta
Embedding value investment in portfolio optimization models has always been a challenge. In this paper, we attempt to incorporate it by employing principal component analysis to fi…