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Activity Number: 604 - Recent Advances in High-Frequency and High-Dimensional Time Series
Type: Topic Contributed
Date/Time: Thursday, August 3, 2017 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract #325031 View Presentation
Title: Sparse Mean-Variance Portfolios: a Penalized Utility Approach
Author(s): David Walker Puelz*
Companies: University of Texas

This paper considers mean-variance optimization under uncertainty, specifically when one desires a sparsified set of optimal portfolio weights. From the standpoint of a Bayesian investor, our approach produces a small portfolio from many potential assets while acknowledging uncertainty in asset returns and parameter estimates. We demonstrate the procedure using static and dynamic models for asset returns.

Authors who are presenting talks have a * after their name.

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