Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
DOI10.1142/s2010326322500083zbMath1523.62079arXiv1908.04243OpenAlexW3155983780MaRDI QIDQ6063734
Taras Bodnar, Nestor Parolya, Erik Thorsén, Dette, Holger
Publication date: 8 November 2023
Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1908.04243
stochastic representationparameter uncertaintyoptimal portfoliosampling distributionhigh-dimensional asymptotics
Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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