Shrinkage Model Selection for Portfolio Optimization on Vietnam Stock Market |
NGUYEN, Nhat
(Faculty of Banking, Banking University of Ho Chi Minh City)
NGUYEN, Trung (Faculty of Banking, Banking University of Ho Chi Minh City) TRAN, Tuan (ICT Department, John von Neumann Institute, Vietnam National University) MAI, An (ICT Department, John von Neumann Institute, Vietnam National University) |
1 | Sharpe, F. W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of finance, 19(3), 425-442. DOI |
2 | Tran,T., Nguyen, N., Nguyen, T., & Mai, A. (2020). Voting shrinkage algorithm for Covariance Matrix Estimation and its application to portfolio selection. RIVF International Conference on Computing and Communication Technologies(pp.1-6).Ho Chi Minh City, Vietnam, October 14-15. IEEE Publishing. Retrieved July 15, 2020 from:https://ieeexplore.ieee.org/document/9140764. |
3 | Bodnar, T., Okhrin, Y., & Parolya, N. (2016). Optimal shrinkagebased portfolio selection in high dimensions. Retrieved July 14, 2019 from:https://arxiv.org/pdf/1611.01958.pdf. |
4 | Candelon, B., Hurlin, C., & Tokpavi, S. (2012). Sampling error and double shrinkage estimation of minimum variance portfolios. Journal of Empirical Finance, 19(4), 511-527. DOI |
5 | DeMiguel, V., Martin-Utrera, A., &Nogales, J. F. (2013). Size matters: Optimal calibration of shrinkage estimators for portfolio selection. Journal of Banking & Finance, 37(8), 3018-3034. DOI |
6 | Iyiola, O., Munirat, Y., & Christopher, N. (2012). The modern portfolio theory as an investment decision tool. Journal of Accounting and Taxation, 4(2), 19-28. |
7 | Le, T. P.(2018). Jensen's alpha estimation models in Capital Asset Pricing Model. Journal of Asian Finance, Economics and Business, 5(3), 19-29. http://doi.org/10.13106/jafeb.2018.vol5.no3.19 DOI |
8 | Le, T. P., Kim, S, K., & Su, Y. (2018). Reexamination of estimating beta coefficient as a risk measure in CAPM. Journal of Asian Finance, Economics and Business, 5(1), 11-16. http://dx.doi.org/10.13106/jafeb.2018.vol5.no1.11 DOI |
9 | Ledoit, O., & Wolf, M. (2003b). Honey, I shrunk the sample covariance matrix. Journal of Portfolio Management, 30(4), 110-119. DOI |
10 | Ledoit, O., & Wolf, M. (2003a). Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. Journal of Empirical Finance, 10(5), 603-621. DOI |
11 | Ledoit, O., & Wolf, M. (2004). A well-conditioned estimator for large-dimensional covariance matrices. Journal of Multivariate Analysis, 88(2), 365-411. DOI |
12 | Ledoit, O., & Wolf, M. (2017a). Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks. Review of Financial Studies, 30(12), 4349-4388. DOI |
13 | Michaud, R. O. (1989). The Markowitz optimization enigma: Is 'optimized' optimal?. Financial Analysts Journal, 45(1), 31-42. DOI |
14 | Ledoit, O., & Wolf, M. (2017b). Numerical implementation of the QuEST function. Computational Statistics & Data Analysis, 115, 199-223. https://arxiv.org/pdf/1601.05870.pdf. DOI |
15 | Liu, X. (2014). Portfolio optimization via generalized multivariate shrinkage. Journal of Finance & Economics,2(2), 54-76. DOI |
16 | Markowitz, H. (1952). Portfolio selection. Journal of Finance, 7, 77-91. DOI |
17 | Nguyen, T. C., & Nguyen, H. M.(2019). Modeling stock price volatility: Empirical evidence from the Ho Chi Minh City Stock Exchange in Vietnam. Journal of Asian Finance, Economics and Business, 6(3), 19-26. https://doi.org/10.13106/jafeb.2019.vol6.no3.19 DOI |