On the mean and variance of the estimated tangency portfolio weights for small samples

DOI10.15559/22-VMSTA212zbMath1499.62373OpenAlexW3090602416MaRDI QIDQ2103309

Publication date: 13 December 2022

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15559/22-vmsta212

zbMATH Keywords

Moore-Penrose inverse reflexive generalized inverse tangency portfolio estimator moments singular inverse Wishart

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Theory of matrix inversion and generalized inverses (15A09) Portfolio theory (91G10)

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Higher order moments of the estimated tangency portfolio weights
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