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Moore-Penrose inverse
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Tangency portfolio
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Estimator moments
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Fuhrer and Moore model
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A test on the location of tangency portfolio for small sample size and singular covariance matrix
Drin, Svitlana
;
Mazur, Stepan
;
Muhinyuza, Stanislas
-
2023
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...
Persistent link: https://www.econbiz.de/10014551571
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2
Estimation of optimal portfolio compositions for small sample and singular covariance matrix
Bodnar, Taras
;
Mazur, Stepan
;
Nguyen, Hoang
-
2022
In the paper we consider the optimal portfolio choice problem under parameter uncertainty when the covariance matrix of asset returns is singular. Very useful stochastic representations are deduced for the characteristics of the expected utility optimal portfolio. Using these stochastic...
Persistent link: https://www.econbiz.de/10014331153
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3
On the mean and variance of the estimated tangency portfolio weights for small samples
Alfelt, Gustav
;
Mazur, Stepan
-
2020
the population covariance matrix is equal to the identity matrix, employing the
Moore
-Penrose inverse. Moreover, exact … inverse and the sample moments based the
Moore
-Penrose inverse is also studied. …
Persistent link: https://www.econbiz.de/10012654462
Saved in:
4
A Note on Inflation Persistence
Holden, Steinar
;
Driscoll, John C.
-
2002
formulations, the Fuhrer and
Moore
(1995) relative contracting model, is highly problematic. Fuhrer and
Moore
(1995)'s formulation …
Persistent link: https://www.econbiz.de/10012143602
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