﻿ 因子分析-Shrinkage法在投资组合中的理论分析及应用

# 因子分析-Shrinkage法在投资组合中的理论分析及应用Theoretical Analysis and Application on Factor Analysis-Shrinkage Method to Portfolio

Abstract: In the portfolio with no short sales, investors usually want to get the optimal portfolio model in order to achieve maximum benefits and minimum risk. In this paper, we research the Markowitz model and the combination model of resampling and Markowitz model. However, due to the dis-tribution of investment targets is not clear, the resampling method may overestimate the distri-bution of population. Then the application of shrinkage method has improved the variance of es-timation. Based on shrinkage method and factor analysis, factor analysis-shrinkage method is proposed to further optimize the estimation. Experimental results using the real data of stocks and R software verify the analysis factor-shrinkage method.

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