There is considerable literature on matrix-variate gamma distributions, also known as Wishart distributions, which are driven by a shape parameter with values in the (Gindikin) set {i/2, i = 1, . . . , k−1}∪((k−1)/2, É). We provide an extension of this class to the case where the shape...

In this paper we consider the estimated weights of tangency portfolio. The returns are assumed to be independently and multivariate normally distributed. We derive analytical expressions for the higher order non-central and central moments of these weights. Moreover, the expressions for mean,...