Singular inverse Wishart distribution and its application to portfolio theory

DOI10.1016/J.JMVA.2015.09.021zbMath1328.62313OpenAlexW2172317359MaRDI QIDQ900811

Taras Bodnar, Stepan Mazur, Krzysztof Podgórski

Publication date: 23 December 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.09.021

zbMATH Keywords

Moore-Penrose inversesingular Wishart distributionmean-variance portfoliosample estimate of precision matrix

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Portfolio theory (91G10)

Related Items (19)

Estimation of a high-dimensional covariance matrix with the Stein loss ⋮ A test for the global minimum variance portfolio for small sample and singular covariance ⋮ A weak characterization of real Wishart matrices by quadratic forms ⋮ A GENERALIZED WISHART DISTRIBUTION: MATRIX VARIATE VARMA TRANSFORM ⋮ The Jacobians of matrix transformation about singular random matrices and its applications ⋮ Distribution of the product of a Wishart matrix and a normal vector ⋮ Noncentral Wishart matrices, asymptotic normality of vec and smooth statistics ⋮ Matrix variate generalized asymmetric Laplace distributions ⋮ Cardinality-constrained distributionally robust portfolio optimization ⋮ On the asymptotic and approximate distributions of the product of an inverse Wishart matrix and a Gaussian vector ⋮ Statistical inference for the tangency portfolio in high dimension ⋮ Portfolio selection: shrinking the time-varying inverse conditional covariance matrix ⋮ Bayesian inference of the multi-period optimal portfolio for an exponential utility ⋮ On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension ⋮ Maximum likelihood and maximum a posteriori estimators for the Riesz probability distribution ⋮ Bayesian estimation for misclassification rate in linear discriminant analysis ⋮ Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory ⋮ Higher order moments of the estimated tangency portfolio weights ⋮ On the mean and variance of the estimated tangency portfolio weights for small samples

Cites Work

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