Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Multi Anchor Point Shrinkage for the Sample Covariance Matrix (Extended
  Version)   Portfolio managers faced with limited sample sizes must use factor models to
estimate the covariance matrix of a high-dimensional returns vector. For the
simplest one-factor market model, success rests on the quality of the estimated
leading eigenvector "beta".
  When only the returns themselves are observed, the practitioner has available
the "PCA" estimate equal to the leading eigenvector of the sample covariance
matrix. This estimator performs poorly in various ways. To address this problem
in the high-dimension, limited sample size asymptotic regime and in the context
of estimating the minimum variance portfolio, Goldberg, Papanicolau, and
Shkolnik developed a shrinkage method (the "GPS estimator") that improves the
PCA estimator of beta by shrinking it toward a constant target unit vector.
  In this paper we continue their work to develop a more general framework of
shrinkage targets that allows the practitioner to make use of further
information to improve the estimator. Examples include sector separation of
stock betas, and recent information from prior estimates. We prove some precise
statements and illustrate the resulting improvements over the GPS estimator
with some numerical experiments.

33
The categories of this paper are: plasm-ph
21
The categories of this paper are: adap-org
23
The categories of this paper are: solv-int
0
The categories of this paper are: hep-ph
3
The categories of this paper are: physics
19
The categories of this paper are: eess
5
The categories of this paper are: gr-qc
28
The categories of this paper are: alg-geom
11
The categories of this paper are: hep-lat
37
The categories of this paper are: supr-con
25
The categories of this paper are: patt-sol
34
The categories of this paper are: chem-ph
6
The categories of this paper are: astro-ph
7
The categories of this paper are: hep-th
31
The categories of this paper are: ao-sci
8
The categories of this paper are: hep-ex