Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory (Q2317293)
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scientific article; zbMATH DE number 7091554
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| English | Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory |
scientific article; zbMATH DE number 7091554 |
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Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory (English)
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9 August 2019
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tangency portfolio
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singular Wishart distribution
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singular covariance matrix
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high-dimensional asymptotics
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hypothesis testing
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0.885157585144043
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0.8443089723587036
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0.8379600644111633
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0.8308324813842773
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0.7911298274993896
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