Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data
将全球行业分类标准纳入投资组合配置：基于高频数据的因子型大规模协方差估计
We document a striking block-diagonal pattern in the factor model residual covariances of the S&P 500 Equity Index constituents, after sorting the assets by their assigned Global Industry Classification Standard (GICS) codes. Cognizant of this structure, we propose combining a location-based thresholding approach based on sector inclusion with the Fama-French and SDPR sector Exchange Traded Funds (ETF’s). We investigate the performance of our estimators in an out-of-sample…