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Tangency portfolio weights for singular covariance matrix in small and large dimensions : estimation and test theory
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- Bodnar, Taras (författare)
- Stockholm University,Stockholms universitet,Matematiska institutionen
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- Mazur, Stepan, 1988- (författare)
- Örebro University,Örebro universitet,Handelshögskolan vid Örebro Universitet,Department of Statistics
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- Podgórski, Krzysztof (författare)
- Lund University,Lunds universitet,Statistiska institutionen,Ekonomihögskolan,Department of Statistics,Lund University School of Economics and Management, LUSEM
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- Tyrcha, Joanna (författare)
- Stockholm University,Stockholms universitet,Matematiska institutionen
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(creator_code:org_t)
- Elsevier, 2019
- Engelska.
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Ingår i: Journal of Statistical Planning and Inference. - : Elsevier. - 0378-3758 .- 1873-1171. ; 201, s. 40-57
- Relaterad länk:
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https://www.econstor...
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http://dx.doi.org/10...
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https://urn.kb.se/re...
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https://doi.org/10.1...
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https://urn.kb.se/re...
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https://lup.lub.lu.s...
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Abstract
Ämnesord
Stäng
- 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 used in the derivation of a statistical test on the weights of the tangency portfolio where the distribution of the test statistic is obtained under both the null and the alternative hypotheses. Moreover, we establish the high-dimensional asymptotic distribution of the estimated weights of the tangency portfolio when both the portfolio dimension and the sample size increase to infinity. The theoretical findings are implemented in an empirical application dealing with the returns on the stocks included into the S&P 500 index.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
- NATURVETENSKAP -- Matematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics (hsv//eng)
Nyckelord
- Tangency portfolio
- singular Wishart distribution
- singular covariance matrix
- high-dimensional asymptotics
- hypothesis testing
- High-dimensional asymptotics
- Hypothesis testing
- Singular covariance matrix
- Singular Wishart distribution
- Tangency portfolio
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)