Showing 131 - 140 of 147
In this paper, we derive two shrinkage estimators for minimum-variance portfolios that dominate the traditional estimator with respect to the out-of-sample variance of the portfolio return. The presented results hold for any number of assets and number of observations . The small-sample...
Persistent link: https://www.econbiz.de/10010899035
It has been frequently observed in the literature that many multivariate statistical methods require the covariance or dispersion matrix [Sigma] of an elliptical distribution only up to some scaling constant. If the topic of interest is not the scale but only the shape of the elliptical...
Persistent link: https://www.econbiz.de/10005006457
In this paper, we derive two shrinkage estimators for minimum-variance portfolios that dominate the traditional estimator with respect to the out-of-sample variance of the portfolio return. The presented results hold for any number of assets and number of observations . The small-sample...
Persistent link: https://www.econbiz.de/10010583454
Persistent link: https://www.econbiz.de/10008775894
In this paper, we derive two shrinkage estimators for minimum-variance portfolios that dominate the traditional estimator with respect to the out-of-sample variance of the portfolio return. The presented results hold for any number of assets d=4 and number of observations n=d+2. The small-sample...
Persistent link: https://www.econbiz.de/10008866534
In general it is not a priori clear which kind of information is supposed to be used for calculating the fair value of a contingent claim. Even if the information is specified, it is not guaranteed that the fair value is uniquely determined by the given information. A further problem is that...
Persistent link: https://www.econbiz.de/10011099038
This paper analyzes the spectral properties of Tyler’s M-estimator for scatter Tn,d. It is shown that if a multivariate sample stems from a generalized spherically distributed population and the sample size n and the dimension d both go to infinity while d/n→0, then the empirical spectral...
Persistent link: https://www.econbiz.de/10011039962
A measure called 'extremal dependence coefficient' (EDC) is introduced for studying the asymptotic dependence structure of the minimum and the maximum of a random vector. Some general properties of the EDC are derived and its relation to the tail dependence coefficient is examined. The extremal...
Persistent link: https://www.econbiz.de/10005223050
Persistent link: https://www.econbiz.de/10004884882
Persistent link: https://www.econbiz.de/10004887895