arXiv
Open Access
2015
Shrinkage = Factor Model
Zura Kakushadze
Abstrak
Shrunk sample covariance matrix is a factor model of a special form combining some (typically, style) risk factor(s) and principal components with a (block-)diagonal factor covariance matrix. As such, shrinkage, which essentially inherits out-of-sample instabilities of the sample covariance matrix, is not an alternative to multifactor risk models but one out of myriad possible regularization schemes. We give an example of a scheme designed to be less prone to said instabilities. We contextualize this within multifactor models.
Penulis (1)
Z
Zura Kakushadze
Akses Cepat
Informasi Jurnal
- Tahun Terbit
- 2015
- Bahasa
- en
- Sumber Database
- arXiv
- Akses
- Open Access ✓