Error-order conjecture for sample optimal portfolio weights
Error-order conjecture for sample optimal portfolio weights
Let be the true covariance matrix, with eigenvalues , and let and denote the true and sample optimal portfolio weights, respectively. For each coordinate , write and for their -th entries.
Error-order conjecture. The expected coordinatewise error satisfies
The constant in the order depends on the smallest and largest eigenvalues of .
This conjecture summarizes the paper's experimental observations about the accuracy of sample optimal portfolio weights as the dimension-to-sample-size ratio changes. The supplied text does not establish the estimate theoretically or indicate whether it has been resolved.
Progress summary
Nothing recorded yet. Refresh searches the literature and the public web for attempts on this problem, and writes the first summary here.
Sources & referencesView supporting material
Primary source
JunTao Duan and Ionel Popescu, “LoCoV: low dimension covariance voting algorithm for portfolio optimization”, arXiv:2204.00204 (2022).
Solutions 0
Sign in to submit a solution.
No solutions have been posted yet.