Statistical Inference for the Tangency Portfolio in High Dimension
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Cited by:
- Alfelt, Gustav & Mazur, Stepan, 2020. "On the mean and variance of the estimated tangency portfolio weights for small samples," Working Papers 2020:8, Örebro University, School of Business.
- Javed, Farrukh & Mazur, Stepan & Thorsén, Erik, 2021. "Tangency portfolio weights under a skew-normal model in small and large dimensions," Working Papers 2021:13, Örebro University, School of Business.
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More about this item
Keywords
Tangency portfolio; high-dimensional asymptotics; hypothesis testing;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2020-10-26 (Econometrics)
- NEP-ORE-2020-10-26 (Operations Research)
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