A test for the global minimum variance portfolio for small sample and singular covariance
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Publication:1622106
DOI10.1007/s10182-016-0282-zzbMath1443.62332OpenAlexW1800606305MaRDI QIDQ1622106
Krzysztof Podgórski, Taras Bodnar, Stepan Mazur
Publication date: 12 November 2018
Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10182-016-0282-z
singular Wishart distributionglobal minimum variance portfoliosingular covariance matrixsmall sample problem
Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) Portfolio theory (91G10)
Related Items (4)
Statistical inference for the tangency portfolio in high dimension ⋮ Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory ⋮ Higher order moments of the estimated tangency portfolio weights ⋮ On the mean and variance of the estimated tangency portfolio weights for small samples
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- Matrix Analysis
- The general mean-variance portfolio selection problem
- The distribution of the sample variance of the global minimum variance portfolio in elliptical models
- Multivariate Theory for Analyzing High Dimensional Data
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