A test on the location of the tangency portfolio on the set of feasible portfolios
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Publication:2656730
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Cites work
- Bayesian estimation of the global minimum variance portfolio
- Boundaries of the risk aversion coefficient: should we invest in the global minimum variance portfolio?
- Distributional properties of portfolio weights
- Dynamic portfolio management with views at multiple horizons
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- Elliptically contoured models in statistics and portfolio theory
- Estimation of optimal portfolio compositions for Gaussian returns
- Estimation of the global minimum variance portfolio in high dimensions
- How risky is the optimal portfolio which maximizes the Sharpe ratio?
- scientific article; zbMATH DE number 3886886 (Why is no real title available?)
- scientific article; zbMATH DE number 54139 (Why is no real title available?)
- scientific article; zbMATH DE number 1391247 (Why is no real title available?)
- Linear statistical inference for global and local minimum variance portfolios
- On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio
- Portfolio selection: a linear approach with dual expected utility
- Properties of the singular, inverse and generalized inverse partitioned Wishart distributions
- Simultaneous Statistical Inference
- Statistical inference for high-dimensional global minimum variance portfolios
- The impact of covariance misspecification in risk-based portfolios
- Uncertain portfolio selection with background risk
Cited in
(8)- On the mean and variance of the estimated tangency portfolio weights for small samples
- Bayesian portfolio selection using VaR and CVaR
- A test on mean-variance efficiency of the tangency portfolio in high-dimensional setting
- Statistical inference for the tangency portfolio in high dimension
- Producing the tangency portfolio as a corner portfolio
- Higher order moments of the estimated tangency portfolio weights
- Multi-period power utility optimization under stock return predictability
- A test on the location of tangency portfolio for small sample size and singular covariance matrix
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