On the mean and variance of the estimated tangency portfolio weights for small samples
DOI10.15559/22-VMSTA212zbMATH Open1499.62373OpenAlexW3090602416MaRDI QIDQ2103309FDOQ2103309
Authors: Gustav Alfelt, Stepan Mazur 
Publication date: 13 December 2022
Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.15559/22-vmsta212
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Cited In (5)
- Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory
- Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
- Statistical inference for the tangency portfolio in high dimension
- Higher order moments of the estimated tangency portfolio weights
- The famous American economist H. Markowitz and mathematical overview of his portfolio selection theory
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