Tangency portfolio weights for singular covariance matrix in small and large dimensions: Estimation and test theory
| Autor: | Krzysztof Podgórski, Taras Bodnar, Joanna Tyrcha, Stepan Mazur |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Statistics and Probability
Estimation education.field_of_study Applied Mathematics 05 social sciences Population Tangent Test theory 01 natural sciences 010104 statistics & probability Distribution (mathematics) Singular covariance matrix 0502 economics and business Applied mathematics Portfolio 0101 mathematics Statistics Probability and Uncertainty education 050205 econometrics Statistical hypothesis testing Mathematics |
| Zdroj: | Journal of Statistical Planning and Inference. 201:40-57 |
| ISSN: | 0378-3758 |
| DOI: | 10.1016/j.jspi.2018.11.003 |
| Popis: | In this paper we derive the finite-sample distribution of the estimated weights of the tangency portfolio when both the population and the sample covariance matrices are singular. These results are ... |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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