The distribution of sample mean-variance portfolio weights
DOI10.1142/s2010326324500023zbMATH Open1539.6231MaRDI QIDQ6549271
Nathan Lassance, Xiaolu Wang, Raymond M. Kan
Publication date: 3 June 2024
Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)
stochastic representationportfolio choiceestimation riskhigh-dimensional asymptoticsminimum-variance frontier
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) Exact distribution theory in statistics (62E15) Portfolio theory (91G10)
Cites Work
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- Estimation of the global minimum variance portfolio in high dimensions
- Distributional properties of portfolio weights
- The Distribution of the Sample Minimum-Variance Frontier
- Matricvariate Generalizations of the Multivariate $t$ Distribution and the Inverted Multivariate $t$ Distribution
- Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
- Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
- Optimal Shrinkage-Based Portfolio Selection in High Dimensions
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