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The beta coefficient plays a crucial role in finance as a risk measure of a portfolio in comparison to the benchmark portfolio. In the paper, we investigate statistical properties of the sample estimator for the beta coefficient. Assuming that both the holding portfolio and the benchmark...
Persistent link: https://www.econbiz.de/10013200474
The beta coefficient plays a crucial role in finance as a risk measure of a portfolio in comparison to the benchmark portfolio. In the paper, we investigate statistical properties of the sample estimator for the beta coefficient. Assuming that both the holding portfolio and the benchmark...
Persistent link: https://www.econbiz.de/10012019030
In the present paper, we propose an exact test on the structure of the covariance matrix. In its development the properties of the Wishart distribution are used. Unlike the classical likelihood-ratio type tests and the tests based on the empirical distance, whose statistics depend on the total...
Persistent link: https://www.econbiz.de/10010743756
In this paper we consider the distribution of the product of a Wishart random matrix and a Gaussian random vector. We derive a stochastic representation for the elements of the product. Using this result, the exact joint density for an arbitrary linear combination of the elements of the product...
Persistent link: https://www.econbiz.de/10010702799
Persistent link: https://www.econbiz.de/10011611271