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Higher order moments of the estimated tangency portfolio weights
Örebro University, Örebro University School of Business. (Statistik)ORCID iD: 0000-0002-1488-4703
Örebro University, Örebro University School of Business. (Statistik)ORCID iD: 0000-0002-1395-9427
Department of Mathematics, Stockholm University, Stockholm, Sweden; Department of Mathematics, University College of Education, Dar es Salaam, Tanzania.
2017 (English)Report (Other academic)
Abstract [en]

In this paper we consider the estimated tangency portfolio weights. We derive analytical expressions for the higher central and non-central moments of these weights. The main focus has been given to skewness and kurtosis due to the importance of asymmetry and heavy tails of the data. We complement our results with an empirical study where we analyze an international diversified portfolio.

Place, publisher, year, edition, pages
Örebro, Sweden: Örebro University School of Business , 2017. , p. 18
Series
Working Papers, School of Business, ISSN 1403-0586 ; 10
Keywords [en]
Higher moments, tangency portfolio, portfolio weights, Skewness, Kurtosis
National Category
Probability Theory and Statistics
Research subject
Statistics
Identifiers
URN: urn:nbn:se:oru:diva-57933OAI: oai:DiVA.org:oru-57933DiVA, id: diva2:1106305
Available from: 2017-06-07 Created: 2017-06-07 Last updated: 2018-10-19Bibliographically approved

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Higher order moments of the estimated tangency(361 kB)98 downloads
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Type fulltextMimetype application/pdf

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Javed, FarrukhMazur, Stepan

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf