A Test of the Efficiency of a Given Portfolio in High Dimensions
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https://www.nber.org/papers/w33565
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资源简介：
We extend the GibbonsRossShanken test to high-dimensional cases, when the num-ber of test assets far exceeds the sample size and the return covariance matrix is ill-conditioned or singular, as inevitably occurs with large, richly specified test port-folios. In such cases, one must use a regularized
提供机构：
美国国家经济研究局
创建时间：
2025-03-01
