论文标题
一个篮子一半：稀疏的投资组合
A Basket Half Full: Sparse Portfolios
论文作者
论文摘要
当资产数量小于样本量时，现有的稀疏财富分配方法（1）仅限于低维设置； （2）缺乏对稀疏财富分配及其对投资组合暴露的影响的理论分析； （3）由于$ \ ell_1 $ -penalty引起的偏见，是次优的。我们解决了这些缺点，并开发了一种在高维度中构建稀疏投资组合的方法。我们的贡献是双重的：从理论的角度来看，我们建立了稀疏重量估计器的甲骨文界限，并就其分布提供了指导。从经验的角度来看，我们研究了不同市场场景中稀疏投资组合的优点。我们发现，与非Sparse同行相比，我们的策略对于衰退是强大的，可以在此期间用作对冲车辆。
The existing approaches to sparse wealth allocations (1) are limited to low-dimensional setup when the number of assets is less than the sample size; (2) lack theoretical analysis of sparse wealth allocations and their impact on portfolio exposure; (3) are suboptimal due to the bias induced by an $\ell_1$-penalty. We address these shortcomings and develop an approach to construct sparse portfolios in high dimensions. Our contribution is twofold: from the theoretical perspective, we establish the oracle bounds of sparse weight estimators and provide guidance regarding their distribution. From the empirical perspective, we examine the merit of sparse portfolios during different market scenarios. We find that in contrast to non-sparse counterparts, our strategy is robust to recessions and can be used as a hedging vehicle during such times.
