Seminar 217, Risk Management: Multi-Anchor Point Shrinkage for Better Betas (Online)

Risk Seminar
Dec 1, 2020 11:00am to 12:30pm
Location: 
Online
Status: 
Happening As Scheduled
ABSTRACT: The GPS (Goldberg, Papanicolaou, Shkolnik) method shrinks the leading eigenvector of the sample covariance matrix towards the vector of all 1’s by a data driven amount in the low sample-high dimension regime. That creates an estimate of betas that has lower l_2 error and significantly reduces the impact of the estimation error on minimum variance portfolio weights and risk forecasts. We...
Hubeyb Gurdogan, Florida State University (Speaker)