Higher order moments of the estimated tangency portfolio weights
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Publication:5861531
DOI10.1080/02664763.2020.1736523OpenAlexW2763013174MaRDI QIDQ5861531
Unnamed Author, Farrukh Javed, Stepan Mazur
Publication date: 1 March 2022
Published in: Journal of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02664763.2020.1736523
Related Items (4)
Distribution of the product of a Wishart matrix and a normal vector ⋮ Cardinality-constrained distributionally robust portfolio optimization ⋮ 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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