Statistical Inference for the Expected Utility Portfolio in High Dimensions

You are here

Top Reasons to Join SPS Today!

1. IEEE Signal Processing Magazine
2. Signal Processing Digital Library*
3. Inside Signal Processing Newsletter
4. SPS Resource Center
5. Career advancement & recognition
6. Discounts on conferences and publications
7. Professional networking
8. Communities for students, young professionals, and women
9. Volunteer opportunities
10. Coming soon! PDH/CEU credits
Click here to learn more.

Statistical Inference for the Expected Utility Portfolio in High Dimensions

By: 
Taras Bodnar; Solomiia Dmytriv; Yarema Okhrin; Nestor Parolya; Wolfgang Schmid

In this paper, using the shrinkage-based approach for portfolio weights and modern results from random matrix theory we construct an effective procedure for testing the efficiency of the expected utility (EU) portfolio and discuss the asymptotic behavior of the proposed test statistic under the high-dimensional asymptotic regime, namely when the number of assets p increases at the same rate as the sample size n such that their ratio p/n approaches a positive constant c(0,1) as n . We provide an extensive simulation study where the power function and receiver operating characteristic curves of the test are analyzed. In the empirical study, the methodology is applied to the returns of S&P 500 constituents.

SPS on Twitter

  • Students, it's time to form your teams! The 2022 Signal Processing Cup competition is underway. This year's topic,… https://t.co/fVw7tA7zTG
  • The DEGAS Webinar Series continues this Thursday, 13 January when Peter Battaglia presents "Modeling Physical Struc… https://t.co/Kndvzl8BpE
  • The SPS Webinar Series continues on Wednesday, 26 January when Dr. Ba-Ngu Vo presents "Bayesian Multi-object Tracki… https://t.co/sKejcUeyys
  • Call for Speakers! The IEEE Women in Engineering International Leadership Conference () is seeking submissio… https://t.co/bSaRgMw2uD
  • CALL FOR PROPOSALS: The SPS Education Board is soliciting proposals for short courses in conjunction with ICASSP 20… https://t.co/LiVjYgEVGU

SPS Videos


Signal Processing in Home Assistants

 


Multimedia Forensics


Careers in Signal Processing             

 


Under the Radar