hsv:(NATURVETENSKAP) hsv:(Annan naturvetenskap) hsv:(Övrig annan naturvetenskap)
Search: hsv:(NATURVETENSKAP) hsv:(Annan naturvetenskap) hsv:(Övrig annan naturvetenskap) > A linear test for t...
- 20 of 163
- Previous record
- Next record
- To hitlist
- Bodnar, Taras (author)
A linear test for the global minimum variance portfolio for small sample and singular covariance
- BookEnglish2015
Publisher, publication year, extent ...
- 2015
- 16 s.
- electronicrdacarrier
Numbers
- LIBRIS-ID:oai:lup.lub.lu.se:dd246158-d68c-4498-a043-37f4739f3d4c
- https://lup.lub.lu.se/record/8082777URI
Supplementary language notes
- Language:English
- Summary in:English
Part of subdatabase
- SwePubSwePub
Classification
Series
- Working Papers in Statistics
Notes
- 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 and genre
- NATURVETENSKAP Annan naturvetenskap Övrig annan naturvetenskap hsv//swe
- NATURAL SCIENCES Other Natural Sciences Other Natural Sciences not elsewhere specified hsv//eng
- singular co-variance matrix
- singular Wishart distribution
- small sample problem
- global minimum variance portfolio
Added entries (persons, corporate bodies, meetings, titles ...)
- Mazur, StepanLund University,Lunds universitet,Statistiska institutionen,Ekonomihögskolan,Department of Statistics,Lund University School of Economics and Management, LUSEM(Swepub:lu)stat-smu (author)
- Podgorski, KrzysztofLund University,Lunds universitet,Statistiska institutionen,Ekonomihögskolan,Department of Statistics,Lund University School of Economics and Management, LUSEM(Swepub:lu)mats-ksp (author)
- Statistiska institutionenEkonomihögskolan (creator_code:org_t)
Internet link
To the university's database
- 20 of 163
- Previous record
- Next record
- To hitlist
Find more in SwePub
- By the author/editor
- Bodnar, Taras
- Mazur, Stepan
- Podgorski, Krzys ...
- About the subject
-
- NATURAL SCIENCES
- NATURAL SCIENCES
- and Other Natural Sc ...
- and Other Natural Sc ...
- Parts in the series
- Working Papers i ...
- By the university
- Lund University
Search outside SwePub
- Extend your search to:
- Google Book Search
- Google Scholar
Kungliga biblioteket hanterar dina personuppgifter i enlighet med EU:s dataskyddsförordning (2018), GDPR. Läs mer om hur det funkar här.
Så här hanterar KB dina uppgifter vid användning av denna tjänst.
- Copyright © LIBRIS - National Library Systems
- LIBRIS.kb.se
