波动性约束下的结构化协方差矩阵估计

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-08-09 DOI:10.1016/j.frl.2025.108047

Yongqiang Wu , Jun Zhang , Wei Lan

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引用次数: 0

摘要

提出了一种基于块相关结构和波动率约束的结构化协方差估计方法。我们在温和正则性条件下建立了估计量的渐近性质。采用标准普尔500成分股进行实证验证，证实了其有效性。结果表明，波动性约束显著提高了构建投资组合的样本外夏普比率，优于传统的因子模型和收缩估计技术。总的来说，这些发现突出了所提出的方法在提高投资组合绩效方面的鲁棒性和实用性。

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Structured covariance matrix estimation under volatility constraint

This paper proposes a novel structured covariance estimation method with block correlation structure and volatility constraint. We establish the estimator’s asymptotic properties under mild regularity conditions. Empirical validation using S&P 500 constituent stocks confirms its efficacy. The results reveal that the inclusion of volatility constraints significantly improves the out-of-sample Sharpe ratio of constructed portfolios, outperforming traditional factor models and shrinkage estimation techniques. Overall, these findings highlight the robustness and practical utility of the proposed method in enhancing portfolio performance.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance