Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory

DOI10.1016/J.JSPI.2018.11.003MaRDI QIDQ2317293zbMATH OpenOpenAlexWikidataFDO

Authors Taras Bodnar, Stepan Mazur, Krzysztof Podgórski, Joanna Tyrcha

Publication date 9 August 2019

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://www.oru.se/globalassets/oru-sv/institutioner/hh/workingpapers/workingpapers2018/wp-1-2018.pdf

zbMATH Keywords

hypothesis testinghigh-dimensional asymptoticssingular Wishart distributiontangency portfoliosingular covariance matrix

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 1391247 (Why is no real title available?)
• A test for the global minimum variance portfolio for small sample and singular covariance
• Bayesian estimation of the global minimum variance portfolio
• Elliptically contoured models in statistics and portfolio theory
• Exact and asymptotic tests on a factor model in low and large dimensions with applications
• Funds, Factors, and Diversification in Arbitrage Pricing Models
• High dimensional covariance matrix estimation using a factor model
• Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
• On the product of inverse Wishart and normal distributions with applications to discriminant analysis and portfolio theory
• Optimal portfolio selection with singular covariance matrix
• Properties of the singular, inverse and generalized inverse partitioned Wishart distributions
• Sample Eigenvalue Based Detection of High-Dimensional Signals in White Noise Using Relatively Few Samples
• Singular inverse Wishart distribution and its application to portfolio theory
• Vast portfolio selection with gross-exposure constraints

Cited in

(10)

• On the mean and variance of the estimated tangency portfolio weights for small samples
• A test on the location of the tangency portfolio on the set of feasible portfolios
• A test for the global minimum variance portfolio for small sample and singular covariance
• scientific article; zbMATH DE number 5002198 (Why is no real title available?)
• Singular inverse Wishart distribution and its application to portfolio theory
• SEQUENTIAL SURVEILLANCE OF THE TANGENCY PORTFOLIO WEIGHTS
• A test on mean-variance efficiency of the tangency portfolio in high-dimensional setting
• 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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