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A test on the locat...
A test on the location of tangency portfolio for small sample size and singular covariance matrix
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- Drin, Svitlana, 1977- (författare)
- Örebro universitet,Handelshögskolan vid Örebro Universitet,Department of Mathematics, National University of Kyiv-Mohyla Academy, Kyiv, Ukraine
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- Mazur, Stepan, 1988- (författare)
- Örebro universitet,Handelshögskolan vid Örebro Universitet
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- Muhinyuza, Stanislas (författare)
- School of Business and Economics, Linnaeus University, Växjö, Sweden
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(creator_code:org_t)
- 2024
- 2024
- Engelska.
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Ingår i: Modern Stochastics: Theory and Applications. - : VTeX, Vilniaus Universitetas. - 2351-6046 .- 2351-6054. ; , s. 1-17
- Relaterad länk:
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https://doi.org/10.1...
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- The test for the location of the tangency portfolio on the set of feasible portfolios is proposed when both the population and the sample covariance matrices of asset returns are singular. The particular case of investigation is when the number of observations, n, is smaller than the number of assets, k, in the portfolio, and the asset returns are i.i.d. normally distributed with singular covariance matrix Σ such that rank(Σ) = r < n < k + 1. The exact distribution of the test statistic is derived under both the null and alternative hypotheses. Furthermore, the high-dimensional asymptotic distribution of that test statistic is established when both the rank of the population covariance matrix and the sample size increase to infinity so that r/n → c ∈ (0, 1). Theoretical findings are completed by comparing the high-dimensional asymptotic test with an exact finite sample test in the numerical study. A good performance of the obtained results is documented. To get a better understanding of the developed theory, an empirical study with data on the returns on the stocks included in the S&P 500 index is provided.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Tangency portfolio
- Hypothesis testing
- Singular Wishart distribution
- Singular covariance matrix
- Moore–Penrose inverse
- High-dimensional asymptotics
- Statistik
- Statistics
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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