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A test for the glob...
A test for the global minimum variance portfolio for small sample and singular covariance
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- Bodnar, Taras (författare)
- Stockholm University,Stockholms universitet,Matematiska institutionen
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- Mazur, Stepan, 1988- (författare)
- Department of Mathematics, Aarhus University, Aarhus, Denmark
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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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(creator_code:org_t)
- 2016-11-17
- 2017
- Engelska.
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Ingår i: AStA Advances in Statistical Analysis. - : Springer. - 1863-8171 .- 1863-818X. ; 101:3, s. 253-265
- Relaterad länk:
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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://lup.lub.lu.s...
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Abstract
Ämnesord
Stäng
- Recently, a test dealing with the linear hypothesis for the global minimum variance portfolio weights was obtained under the assumption of non-singular covariance matrix. However, the problem of potential multicollinearity and correlations of assets constitutes a limitation of the classical portfolio theory. Therefore, there is an interest in developing theory in the presence of singularities in the covariance matrix. In this paper, we extend the test by analyzing the portfolio weights in the small sample case with a singular population covariance matrix. The results are illustrated using actual stock returns and a discussion of practical relevance of the model is presented.
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
- Global minimum variance portfolio
- Singular Wishart distribution
- Singular covariance matrix
- Small sample problem
- Mathematics
- Matematik
- Global minimum variance portfolio
- Singular covariance matrix
- Singular Wishart distribution
- Small sample problem
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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