Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory
DOI10.1016/J.JSPI.2018.11.003zbMATH Open1418.91453OpenAlexW2778347515WikidataQ128826575 ScholiaQ128826575MaRDI QIDQ2317293FDOQ2317293
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
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hypothesis testinghigh-dimensional asymptoticssingular Wishart distributiontangency portfoliosingular covariance matrix
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)
Cites Work
- High dimensional covariance matrix estimation using a factor model
- Large Covariance Estimation by Thresholding Principal Orthogonal Complements
- Bayesian estimation of the global minimum variance portfolio
- Vast portfolio selection with gross-exposure constraints
- Sample Eigenvalue Based Detection of High-Dimensional Signals in White Noise Using Relatively Few Samples
- Title not available (Why is that?)
- Elliptically contoured models in statistics and portfolio theory
- Optimal portfolio selection with singular covariance matrix
- Singular inverse Wishart distribution and its application to portfolio theory
- Funds, Factors, and Diversification in Arbitrage Pricing Models
- On the product of inverse Wishart and normal distributions with applications to discriminant analysis and portfolio theory
- Properties of the singular, inverse and generalized inverse partitioned Wishart distributions
- Exact and asymptotic tests on a factor model in low and large dimensions with applications
- A test for the global minimum variance portfolio for small sample and singular covariance
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
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- 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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