A test on the location of tangency portfolio for small sample size and singular covariance matrix
Year of publication: |
2023
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Authors: | Drin, Svitlana ; Mazur, Stepan ; Muhinyuza, Stanislas |
Publisher: |
Örebro : Örebro University School of Business |
Subject: | Tangency portfolio | Hypothesis testing | Singular Wishart distribution | Singular covariance matrix | Moore-Penrose inverse | High-dimensional asymptotics |
Series: | Working Paper ; 11/2023 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1876515821 [GVK] |
Classification: | G11 - Portfolio Choice |
Source: |
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A test on the location of tangency portfolio for small sample size and singular covariance matrix
Drin, Svitlana, (2023)
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Bodnar, Taras, (2018)
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Statistical Inference for the Tangency Portfolio in High Dimension
Karlsson, Sune, (2020)
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A test on the location of tangency portfolio for small sample size and singular covariance matrix
Drin, Svitlana, (2023)
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On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions
Bodnar, Taras, (2017)
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Statistical Inference for the Tangency Portfolio in High Dimension
Karlsson, Sune, (2020)
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