1 citations · 2 across the 5 of their papers we have counts for
3 papers · 1 filter
Principal component error in high-dimensional factor models
Alex Bernstein, Lisa R. Goldberg, Nicholas Gunther +4
In a statistical factor model, principal components (or eigenvectors) of a sample covariance matrix serve as estimates of principal directions, the true drivers of co-movement of a…
The Long-Only Minimum Variance Portfolio in a One-Factor Market: Theory and Asymptotics
Alec Kercheval, Ololade Sowunmi
We study the long-only minimum variance (LOMV) portfolio under a one-factor covariance model with asset betas of arbitrary sign. We provide an explicit solution in terms of the set…
Understanding the Long-Only Minimum Variance Portfolio
Nick L. Gunther, Alec N. Kercheval, Ololade Sowunmi
For a covariance matrix coming from a factor model of returns, we investigate the relationship between the long-only global minimum variance portfolio and the asset exposures to th…