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Tangency portfolio weights for singular covariance matrix in small and large dimensions: Estimation and test theory
Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.ORCID-id: 0000-0001-7855-8221
Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.
Rekke forfattare: 42019 (engelsk)Inngår i: Journal of Statistical Planning and Inference, ISSN 0378-3758, E-ISSN 1873-1171, Vol. 201, s. 40-57Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

In this paper we derive the finite-sample distribution of the estimated weights of the tangency portfolio when both the population and the sample covariance matrices are singular. These results are used in the derivation of a statistical test on the weights of the tangency portfolio where the distribution of the test statistic is obtained under both the null and alternative hypotheses. Moreover, we establish the high-dimensional asymptotic distribution of the estimated weights of the tangency portfolio when both the portfolio dimension and the sample size increase to infinity. The theoretical findings are implemented in an empirical application dealing with the returns on the stocks included into the S&P 500 index.

sted, utgiver, år, opplag, sider
2019. Vol. 201, s. 40-57
Emneord [en]
Tangency portfolio, Singular Wishart distribution, Singular covariance matrix, High-dimensional asymptotics, Hypothesis testing
HSV kategori
Identifikatorer
URN: urn:nbn:se:su:diva-167551DOI: 10.1016/j.jspi.2018.11.003ISI: 000459528700004OAI: oai:DiVA.org:su-167551DiVA, id: diva2:1304455
Tilgjengelig fra: 2019-04-12 Laget: 2019-04-12 Sist oppdatert: 2020-03-05bibliografisk kontrollert

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