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Higher 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)
(English)Manuscript (preprint) (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.

Keyword [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: diva2:1106305
Available from: 2017-06-07 Created: 2017-06-07 Last updated: 2017-09-04Bibliographically approved

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Javed, FarrukhMazur, Stepan
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CiteExportLink to record
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Citation style
  • apa
  • ieee
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