A test on mean-variance efficiency of the tangency portfolio in high-dimensional setting

DOI10.1090/tpms/1136zbMath1470.91248OpenAlexW3025677723MaRDI QIDQ5003657

Stanislas Muhinyuza

Publication date: 22 July 2021

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-180904

zbMATH Keywords

tangency portfoliomean-variance portfoliohigh-dimensional settings

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Statistical inference for the tangency portfolio in high dimension ⋮ On the mean and variance of the estimated tangency portfolio weights for small samples

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