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Tangency portfolio ...
Tangency portfolio weights under a skew-normal model in small and large dimensions
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- Javed, Farrukh (författare)
- Lund University,Lunds universitet,Statistiska institutionen,Ekonomihögskolan,Department of Statistics,Lund University School of Economics and Management, LUSEM
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- Mazur, Stepan, 1988- (författare)
- Örebro universitet,Linnéuniversitetet,Institutionen för nationalekonomi och statistik (NS),Örebro University, Sweden,DISA;DSM,Handelshögskolan vid Örebro Universitet,Linnaeus University, Växjö, Sweden,Örebro University School of Business
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- Thorsén, Erik, 1989- (författare)
- Stockholms universitet,Matematiska institutionen,Stockholm University, Sweden
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(creator_code:org_t)
- Taylor & Francis Group, 2024
- 2024
- Engelska.
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Ingår i: Journal of the Operational Research Society. - : Taylor & Francis Group. - 0160-5682 .- 1476-9360. ; 75:7, s. 1395-1406
- Relaterad länk:
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- In this paper, we investigate the distributional properties of the estimated tangency portfolio (TP) weights assuming that the asset returns follow a matrix variate closed skew-normal distribution. We establish a stochastic representation of the linear combination of the estimated TP weights that fully characterizes its distribution. Using the stochastic representation we derive the mean and variance of the estimated weights of TP which are of key importance in portfolio analysis. Furthermore, we provide the asymptotic distribution of the linear combination of the estimated TP weights under the high-dimensional asymptotic regime, i.e., the dimension of the portfolio p and the sample size n tend to infinity such that p/n & RARR;c & ISIN;(0,1). A good performance of the theoretical findings is documented in the simulation study. In an empirical study, we apply the theoretical results to real data of the stocks included in the S & P 500 index.
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
- Asset allocation
- tangency portfolio
- matrix variate skew-normal distribution
- stochastic representation
- high-dimensional asymptotics
- Statistics/Econometrics
- Statistik
- Asset allocation
- tangency portfolio
- matrix variate skew-normal distribution
- stochastic representation
- high-dimensional asymptotics
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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