Risks of large portfolios
大型投资组合的风险
The risk of a large portfolio is often estimated by substituting a good estimator of the volatility matrix. However, the accuracy of such a risk estimator is largely unknown. We study factor-based risk estimators under a large amount of assets, and introduce a high-confidence level upper bound (H-CLUB) to assess the estimation. The H-CLUB is constructed using the confidence interval of risk estimators with either known or unknown factors. We derive the limiting distribution…