The main contribution of this paper is the derivation of the asymptotic behaviour of the out-of-sample variance, relative loss, and of their empirical counterparts in the high-dimensional setting. The results are obtained for the traditional estimator of the global minimum variance portfolio,...

In the paper we consider the optimal portfolio choice problem under parameter uncertainty when the covariance matrix of asset returns is singular. Very useful stochastic representations are deduced for the characteristics of the expected utility optimal portfolio. Using these stochastic...

In the paper we consider the optimal portfolio choice problem under parameter uncertainty when the covariance matrix of asset returns is singular. Very useful stochastic representations are deduced for the characteristics of the expected utility optimal portfolio. Using these stochastic...

Objective Bayesian inference procedures are derived for the parameters of the multivariate random effects model generalized to elliptically contoured distributions. The posterior for the overall mean vector and the between-study covariance matrix is deduced by assigning two noninformative priors...