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On the mean and variance of the estimated tangency portfolio weights for small samples
Department of Mathematics, Stockholm University, Stockholm, Sweden.
Örebro universitet, Handelshögskolan vid Örebro Universitet. Department of Economics and Statistics, School of Business and Economics, Linnaeus University, Växjö, Sweden, Sweden.ORCID-id: 0000-0002-1395-9427
2022 (Engelska)Ingår i: Modern Stochastics: Theory and Applications, ISSN 2351-6046, Vol. 9, nr 4, s. 41s. 453-482Artikel i tidskrift (Refereegranskat) Published
Abstract [en]

In this paper, a sample estimator of the tangency portfolio (TP) weights is con-sidered. The focus is on the situation where the number of observations is smaller than the number of assets in the portfolio and the returns are i.i.d. normally distributed. Under these assumptions, the sample covariance matrix follows a singular Wishart distribution and, therefore, the regular inverse cannot be taken. In the paper, bounds and approximations for the first two moments of the estimated TP weights are derived, as well as exact results are obtained when the population covariance matrix is equal to the identity matrix, employing the Moore–Penrose inverse. Moreover, exact moments based on the reflexive generalized inverse are provided. The properties of the bounds are investigated in a simulation study, where they are compared to the sample moments. The difference between the moments based on the reflexive generalized inverse and the sample moments based on the Moore–Penrose inverse is also studied.

Ort, förlag, år, upplaga, sidor
Vilnius: VTeX , 2022. Vol. 9, nr 4, s. 41s. 453-482
Nyckelord [en]
Tangency portfolio, singular inverse Wishart, Moore–Penrose inverse, reflexive generalized inverse, estimator moments
Nationell ämneskategori
Nationalekonomi Annan naturvetenskap
Identifikatorer
URN: urn:nbn:se:oru:diva-86280DOI: 10.15559/22-VMSTA212ISI: 000891443000005Scopus ID: 2-s2.0-85141848412OAI: oai:DiVA.org:oru-86280DiVA, id: diva2:1473968
Forskningsfinansiär
Örebro universitetJan Wallanders och Tom Hedelius stiftelse, P18-0201Tillgänglig från: 2020-10-07 Skapad: 2020-10-07 Senast uppdaterad: 2022-12-13Bibliografiskt granskad

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Mazur, Stepan

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Totalt: 182 träffar
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