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.
References
Primary source
JunTao Duan and Ionel Popescu, “LoCoV: low dimension covariance voting algorithm for portfolio optimization”, arXiv:2204.00204 (2022).
Progress summary
Nothing recorded yet. Refresh searches the literature and the public web for attempts on this problem, and writes the first summary here.
Solutions 0
No solutions have been posted yet.