On the mean and variance of the estimated tangency portfolio weights for small samples (Q2103309)
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scientific article; zbMATH DE number 7632490
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| English | On the mean and variance of the estimated tangency portfolio weights for small samples |
scientific article; zbMATH DE number 7632490 |
Statements
On the mean and variance of the estimated tangency portfolio weights for small samples (English)
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13 December 2022
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tangency portfolio
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singular inverse Wishart
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Moore-Penrose inverse
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reflexive generalized inverse
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estimator moments
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0.8902379
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0.8832154
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0.8801446
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0.87588674
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0.86798394
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0.8500815
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0.8440083
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0.84277636
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