A test on the location of tangency portfolio for small sample size and singular covariance matrix
| العنوان: | A test on the location of tangency portfolio for small sample size and singular covariance matrix |
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| المؤلفون: | Drin, Svitlana, Mazur, Stepan, 1988, Muhinyuza, Stanislas |
| المصدر: | Modern Stochastics: Theory and Applications. 12(1):44-59 |
| مصطلحات موضوعية: | Matematik, Mathematics, Statistics/Econometrics, Statistik |
| الوصف: | The test for the location of the tangency portfolio on the set of feasible portfolios is proposed when both the population and the sample covariance matrices of asset returns are singular. The particular case of investigation is when the number of observations, n, is smaller than the number of assets, k, in the portfolio, and the asset returns are i.i.d. normally distributed with singular covariance matrix Σ such that rank(Σ)=r |
| وصف الملف: | electronic |
| URL الوصول: | https://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-125370 https://doi.org/10.15559/24-VMSTA261 https://lnu.diva-portal.org/smash/get/diva2:1819132/FULLTEXT04.pdf |
| قاعدة البيانات: | SwePub |
| تدمد: | 23516046 23516054 |
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| DOI: | 10.15559/24-VMSTA261 |