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A linear test for t...
A linear test for the global minimum variance portfolio for small sample and singular covariance
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Bodnar, Taras (author)
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- Mazur, Stepan (author)
- Lund University,Lunds universitet,Statistiska institutionen,Ekonomihögskolan,Department of Statistics,Lund University School of Economics and Management, LUSEM
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- Podgorski, Krzysztof (author)
- 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)
- 2015
- English 16 s.
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Series: Working Papers in Statistics
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Abstract
Subject headings
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- 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.
Subject headings
- NATURVETENSKAP -- Annan naturvetenskap -- Övrig annan naturvetenskap (hsv//swe)
- NATURAL SCIENCES -- Other Natural Sciences -- Other Natural Sciences not elsewhere specified (hsv//eng)
Keyword
- singular co-variance matrix
- singular Wishart distribution
- small sample problem
- global minimum variance portfolio
Publication and Content Type
- ovr (subject category)
- vet (subject category)
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