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Ekaterina, Seregina ; Tae Hwy, Lee ; Tae-Hwy, Lee. (2023) Optimal Portfolio Using Factor Graphical Lasso.
In: Working Papers. RePEc:ucr:wpaper:202302.
Full description at Econpapers
cites:
Î â² K. Similarly to Fan et al. (2018), we require the following bounds on the componentwise maximums of the estimators: (C.1) b Σ â Σ max = OP ( p log p/T), (C.2) (b ÎK â Î)Îâ1 max = OP (K p log p/T), (C.3) b ÎK â Î max = OP (K1/2 p log p/(Tp)). Let b ΣSG be the sample covariance matrix, with b ÎSG K and b ÎSG K constructed with the first K leading empirical eigenvalues and eigenvectors of b ΣSG respectively. Also, let b ΣEL1 = b D b R1 b D, where b R1 is obtained using the Kendallâs tau correlation coefficients and b D is a robust estimator of variances constructed using the Huber loss. Furthermore, let b ΣEL2 = b D b R2 b D, where b R2 is obtained using the spatial Kendallâs tau estimator. Define b ÎEL K to be the matrix of the first K leading empirical eigenvalues of b ΣEL1, and b ÎEL K is the matrix of the first K leading empirical eigenvectors of b ΣEL2.
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