英文标题：
《Shrinkage = Factor Model》
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作者：
Zura Kakushadze
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最新提交年份：
2015
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英文摘要：
Shrunk sample covariance matrix is a factor model of a special form combining some (typically, style) risk factor(s) and principal components with a (block-)diagonal factor covariance matrix. As such, shrinkage, which essentially inherits out-of-sample instabilities of the sample covariance matrix, is not an alternative to multifactor risk models but one out of myriad possible regularization schemes. We give an example of a scheme designed to be less prone to said instabilities. We contextualize this within multifactor models.
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中文摘要：
收缩样本协方差矩阵是一种特殊形式的因子模型，它将一些（通常是风格）风险因子和主成分与（块）对角因子协方差矩阵相结合。因此，收缩本质上继承了样本协方差矩阵的样本外不稳定性，它不是多因素风险模型的替代品，而是无数可能的正则化方案中的一种。我们给出了一个设计成不易发生上述不稳定性的方案的例子。我们将其置于多因素模型中。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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