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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,School of Business and Economics, Linnaeus University, Växjö, Sweden
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- Muhinyuza, Stanislas (författare)
- School of Business and Economics, Linnaeus University, Växjö, Sweden
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(creator_code:org_t)
- Örebro : Örebro University School of Business, 2023
- Engelska 17 s.
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Serie: Working Papers, School of Business, 1403-0586 ; 11
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Abstract
Ämnesord
Stäng
- In this paper, we propose the test for the location of the tangency portfolio on the set of feasible portfolios when both the population and the sample covariance matrices of asset returns are singular. We derive the exact distribution of the test statistic under both the null and alternative hypotheses. Furthermore, we establish the high-dimensional asymptotic distribution of that test statistic when both the portfolio dimension and the sample size increase to infinity. We complement our theoretical findings 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.
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
Publikations- och innehållstyp
- vet (ämneskategori)
- rap (ämneskategori)