Sparse and Stable Portfolio Selection With Parameter Uncertainty
提出在投资组合选择中通过增加权重约束来降低预期收益和协方差矩阵的估计风险，使权重具有稀疏性和稳定性，实证表明新策略在样本外表现更优且换手率更低。
A number of alternative mean-variance portfolio strategies have been recently proposed to improve the empirical performance of the classic Markowitz mean-variance framework. Designed as remedies for parameter uncertainty and estimation errors in portfolio selection problems, these alternative portfolio strategies deliver substantially better out-of-sample performance. In this article, we first show how to solve a general portfolio selection problem in a linear regression framework. Then we propose to reduce the estimation risk of expected returns and the variance-covariance matrix of asset returns by imposing additional constraints on the portfolio weights. With results from linear regression models, we show that portfolio weights derived from new approaches enjoy two favorable properties: sparsity and stability. Moreover, we present insights into these new approaches as well as their connections to alternative strategies in literature. Four empirical studies show that the proposed strategies have better out-of-sample performance and lower turnover than many other strategies, especially when the estimation risk is large.