The popularity of modern portfolio theory has decreased among practitioners because of its unfavorable out-of-sample performance. Estimation risk tends to affect the optimal weight calculation noticeably, especially when a large number of assets are considered. To overcome these issues, many...

The simple samples are independently taken from normal distribution. The two functions of the sample means and sample variances are considered. The density functions of these two statistics have been derived. These statistics can be applied for verifying the hypothesis on stability of expected...