Distributional properties of portfolio weights

DOI10.1016/j.jeconom.2005.06.022zbMath1420.91430OpenAlexW1990653470MaRDI QIDQ278053

Publication date: 2 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.06.022

zbMATH Keywords

Wishart distribution multivariate distribution optimal portfolio weights

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

Related Items (61)

Determination and estimation of risk aversion coefficients ⋮ How risky is the optimal portfolio which maximizes the Sharpe ratio? ⋮ A test for the global minimum variance portfolio for small sample and singular covariance ⋮ EWMA Control Charts for Monitoring Optimal Portfolio Weights ⋮ A Consistent Test for Multivariate Conditional Distributions ⋮ AN IMPROVED TEST OF THE SQUARED SHARPE RATIO ⋮ Statistical inference of the efficient frontier for dependent asset returns ⋮ On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory ⋮ Portfolio optimization under Expected Shortfall: contour maps of estimation error ⋮ Estimation risk and the implicit value of index-tracking ⋮ Mixtures of traces of Wishart and inverse Wishart matrices ⋮ A test on the location of the tangency portfolio on the set of feasible portfolios ⋮ Statistical Inference for High-Dimensional Global Minimum Variance Portfolios ⋮ A risk perspective of estimating portfolio weights of the global minimum-variance portfolio ⋮ Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data ⋮ Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty ⋮ Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions ⋮ Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data ⋮ Singular inverse Wishart distribution and its application to portfolio theory ⋮ Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model ⋮ Bagged Pretested Portfolio Selection ⋮ Comparison of different estimation techniques for portfolio selection ⋮ ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS ⋮ Rational explanation for rule-of-thumb practices in asset allocation ⋮ Linear statistical inference for global and local minimum variance portfolios ⋮ Regularizing portfolio optimization ⋮ A generalized pivotal quantity approach to portfolio selection ⋮ On the market price of risk ⋮ Replica approach to mean-variance portfolio optimization ⋮ Sequential monitoring of minimum variance portfolio ⋮ Analytic solution to variance optimization with no short positions ⋮ A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function ⋮ Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models ⋮ New characteristics for portfolio surveillance ⋮ How's the performance of the optimized portfolios by safety-first rules: theory with empirical comparisons ⋮ No-transaction bounds and estimation risk ⋮ Exact properties of measures of optimal investment for benchmarked portfolios ⋮ Properties of the singular, inverse and generalized inverse partitioned Wishart distributions ⋮ Statistical inference for the tangency portfolio in high dimension ⋮ Estimation of the global minimum variance portfolio in high dimensions ⋮ Flexible shrinkage in portfolio selection ⋮ CUSUM control charts for monitoring optimal portfolio weights ⋮ Statistical inference procedure for the mean-variance efficient frontier with estimated parameters ⋮ On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio ⋮ Theoretical and empirical estimates of mean-variance portfolio sensitivity ⋮ An optimal combination of risk-return and naive hedging ⋮ Dominating estimators for minimum-variance portfolios ⋮ Bayesian inference of the multi-period optimal portfolio for an exponential utility ⋮ Optimal portfolio choice: a minimum expected loss approach ⋮ A test for the weights of the global minimum variance portfolio in an elliptical model ⋮ Improved estimation of optimal portfolio with an application to the US stock market ⋮ Recent advances in shrinkage-based high-dimensional inference ⋮ An exact test on structural changes in the weights of the global minimum variance portfolio ⋮ SEQUENTIAL SURVEILLANCE OF THE TANGENCY PORTFOLIO WEIGHTS ⋮ On the exact distribution of the estimated expected utility portfolio weights: Theory and applications ⋮ Inference on estimators defined by mathematical programming ⋮ APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES ⋮ Higher order moments of the estimated tangency portfolio weights ⋮ On the mean and variance of the estimated tangency portfolio weights for small samples ⋮ Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests ⋮ On the equivalence of quadratic optimization problems commonly used in portfolio theory

Cites Work

This page was built for publication: Distributional properties of portfolio weights