Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions

DOI10.1142/S2010326323920016zbMath1527.62079MaRDI QIDQ6077690

Taras Bodnar, Dette, Holger, Erik Thorsén, Nestor Parolya

Publication date: 26 September 2023

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

Mathematics Subject Classification ID

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)

Cites Work

• Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions

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