A linear test for the global minimum variance portfolio for small sample and singular covariance

• Bodnar and Schmid (2008) derived the distribution of the global minimum variance portfolio weights and obtained the distribution of the test statistics for the general linear hypothesis. Their results are obtained in the case when the number of observations n is bigger or equal than the size of portfolio k. In the present paper, we extend the result by analyzing the portfolio weights in a small sample case of n < k, with the singular covariance matrix. The results are illustrated using actual stock returns. A discussion of practical relevance of the model is presented.

Ämnesord

NATURVETENSKAP  -- Annan naturvetenskap -- Övrig annan naturvetenskap (hsv//swe)

NATURAL SCIENCES  -- Other Natural Sciences -- Other Natural Sciences not elsewhere specified (hsv//eng)

Nyckelord

singular co-variance matrix

singular Wishart distribution

small sample problem

global minimum variance portfolio

Publikations- och innehållstyp

ovr (ämneskategori)

vet (ämneskategori)