Abstract In this paper we consider the portfolio weights obtained by maximizing the expected quadratic utility function. The unknown parameters of the return process, the mean vector and the covariance matrix, are estimated by their sample counterparts. Assuming independent and multivariate...

Abstract In this paper, we consider the sample estimators for the expected return, the variance, the value-at-risk (VaR), and the conditional VaR (CVaR) of the minimum VaR and the minimum CVaR portfolio. Their exact distributions are derived. These expressions are used for studying the...