The distribution of sample mean-variance portfolio weights
DOI10.1142/S2010326324500023zbMATH Open1539.6231MaRDI QIDQ6549271FDOQ6549271
Authors: Raymond M. Kan, Nathan Lassance, Xiaolu Wang 
Publication date: 3 June 2024
Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)
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high-dimensional asymptoticsportfolio choicestochastic representationestimation riskminimum-variance frontier
Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cites Work
- Title not available (Why is that?)
- Distributional properties of portfolio weights
- Estimation of the global minimum variance portfolio in high dimensions
- Matricvariate Generalizations of the Multivariate $t$ Distribution and the Inverted Multivariate $t$ Distribution
- Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
- The distribution of the sample minimum-variance frontier
- Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
- Optimal Shrinkage-Based Portfolio Selection in High Dimensions
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