On the mean and variance of the estimated tangency portfolio weights for small samples
In this paper, a sample estimator of the tangency portfolio (TP) weights is considered. 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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
VTeX
2022-09-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://www.vmsta.org/doi/10.15559/22-VMSTA212 |