A1534
Title: Estimating efficient frontier with all risky assets
Authors: Leheng Chen - Hong Kong University of Science and Technology (Hong Kong)
Yingying Li - Hong Kong University of Science and Technology (Hong Kong) [presenting]
Xinghua Zheng - HKUST (China)
Abstract: A method is proposed to estimate the efficient frontier with all risky assets under a high-dimensional setting. The method utilizes linear constrained LASSO based on an equivalent constrained regression representation of the mean-variance optimization. Under a mild sparsity assumption, it is shown that the estimator asymptotically achieves mean-variance efficiency. Extensive simulation and empirical studies are conducted to examine the performance of the proposed estimator.
