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Bai, Zhidong ; Li, Hua ; McAleer, Michael ; Wong, Wing-Keung | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2017This paper considers the portfolio problem for high dimensional data when the dimension and size are both large. We analyze the traditional Markowitz mean-variance (MV) portfolio by large dimension matrix theory, and find the spectral distributi[...]texto impreso
Bai, Zhidong ; Li, Hua ; McAleer, Michael ; Wong, Wing-Keung | 2012-06-06We derive the limiting process of the stochastic dominance statistics for risk averters as well as for risk seekers when the underlying processes might be dependent or independent. We take account of the dependency of the partitions and propose [...]
