Search Results - subject:"tangency portfolio"

Constructing Bayesian tangency portfolios under short-selling restrictions

Bodnar, Olha; Bodnar, Taras; Niklasson, Vilhelm - In: Finance research letters 62 (2024) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10014530749

A test on the location of tangency portfolio for small sample size and singular covariance matrix

Drin, Svitlana; Mazur, Stepan; Muhinyuza, Stanislas - 2023

In this paper, we propose the test for the location of the tangency portfolio on the set of feasible portfolios when …

Persistent link: https://www.econbiz.de/10014551571

A test on the location of tangency portfolio for small sample size and singular covariance matrix

Drin, Svitlana; Mazur, Stepan; Muhinyuza, Stanislas - 2023

In this paper, we propose the test for the location of the tangency portfolio on the set of feasible portfolios when …

Persistent link: https://www.econbiz.de/10014441930

Tangency portfolio weights under a skew-normal model in small and large dimensions

Javed, Farrukh; Mazur, Stepan; Thorsén, Erik - 2021

In this paper, we investigate the distributional properties of the estimated tangency portfolio (TP) weights assuming …

Persistent link: https://www.econbiz.de/10012654483

Tangency portfolio weights under a skew-normal model in small and large dimensions

Javed, Farrukh; Mazur, Stepan; Thorsén, Erik - 2021

Persistent link: https://www.econbiz.de/10012605420

On the mean and variance of the estimated tangency portfolio weights for small samples

Alfelt, Gustav; Mazur, Stepan - 2020

In this paper, we consider the sample estimator of the tangency portfolio (TP) weights, where the inverse of the sample …

Persistent link: https://www.econbiz.de/10012654462

Statistical Inference for the Tangency Portfolio in High Dimension

Karlsson, Sune; Mazur, Stepan; Muhinyuza, Stanislas - 2020

In this paper, we study the distributional properties of the tangency portfolio (TP) weights assuming a normal …

Persistent link: https://www.econbiz.de/10012654464

Unique closed-form solutions of portfolio selection subject to mean-skewness-normalization constraints

Lu, Xin; Liu, Qiong; Xue, Fengxin - In: Operations Research Perspectives 6 (2019), pp. 1-15

This paper originally proposes two unique closed-form solutions, respectively to risky assets only and a risk-free asset existing situations, of the mean-variance-skewness (MVS) optimization model subject to mean-sknewness-normalization constraints for portfolio selection. The efficient frontier...

Persistent link: https://www.econbiz.de/10012662764

Unique closed-form solutions of portfolio selection subject to mean-skewness-normalization constraints

Lu, Xin; Liu, Qiong; Xue, Fengxin - In: Operations research perspectives 6 (2019), pp. 1-15

Persistent link: https://www.econbiz.de/10012029423

Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory

Bodnar, Taras; Mazur, Stepan; Podgórski, Krzysztof; … - 2018

In this paper we derive the nite-sample distribution of the esti- mated weights of the tangency portfolio when both the … tangency portfolio when both the portfolio dimension and the sam- ple size increase to in nity. The theoretical ndings are …

Persistent link: https://www.econbiz.de/10012654429