The distribution of sample mean-variance portfolio weights
From MaRDI portal
Publication:6549271
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)
Recommendations
- Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
- The distribution of the sample minimum-variance frontier
- Distributional properties of portfolio weights
- Statistical inference for high-dimensional global minimum variance portfolios
- 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
Cites work
- scientific article; zbMATH DE number 3886886 (Why is no real title available?)
- 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
- Optimal Shrinkage-Based Portfolio Selection in High Dimensions
- Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
- Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
- The distribution of the sample minimum-variance frontier
This page was built for publication: The distribution of sample mean-variance portfolio weights
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6549271)
