Statistical inference for the tangency portfolio in high dimension

DOI10.1080/02331888.2021.1951730zbMath1477.62294OpenAlexW3081387434MaRDI QIDQ5163043

Stepan Mazur, Stanislas Muhinyuza, Sune Karlsson

Publication date: 8 November 2021

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2021.1951730

zbMATH Keywords

hypothesis testingtangency portfoliohigh-dimensional asymptotics

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) Portfolio theory (91G10)

Related Items (1)

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

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