Distributional properties of portfolio weights
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Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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Cited in
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- An optimal combination of risk-return and naive hedging
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- Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data
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- Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
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- Estimation risk and the implicit value of index-tracking
- Portfolio optimization under expected shortfall: contour maps of estimation error
- Optimal Shrinkage-Based Portfolio Selection in High Dimensions
- A uniformly distributed random portfolio
- Bagged Pretested Portfolio Selection
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