Kan, Raymond; Lassance, Nathan; Wang, Xiaolu - 2023
useful for sampling observations efficiently, deriving moments in closed-form, and studying the distribution and performance … estimators. Our results extend upon [T. Bodnar, H. Dette, N. Parolya and E. Thorstén, Sampling distributions of optimal portfolio … weights and characteristics in low and large dimensions, Random Matrices: Theory Appl. 11 (2022)] …