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  1. Estimation of optimal portfolio compositions for small sample and singular covariance matrix
    Autor*in: Bodnar, Taras; Mazur, Stepan; Nguyen, Hoang
    Erschienen: [2022]
    Verlag:  Örebro University School of Business, Örebro, Sweden

    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... mehr

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    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 776
    Fernleihe:
    keine Fernleihe

     

    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 representations, we derive the moments of higher order of the estimated expected return and the estimated variance of the expected utility optimal portfolio. Another line of applications leads to their asymptotic distributions obtained in the high-dimensional setting. Via a simulation study, it is shown that the derived high-dimensional asymptotic distributions provide good approximations of the exact ones even for moderate sample sizes.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/274600
    Schriftenreihe: Array ; 2022, 15
    Schlagworte: singular Wishart distribution; mean-variance portfolio; Moore-Penrose inverse
    Umfang: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  2. A test on the location of tangency portfolio for small sample size and singular covariance matrix
    Autor*in: Drin, Svitlana; Mazur, Stepan; Muhinyuza, Stanislas
    Erschienen: [2023]
    Verlag:  Örebro University School of Business, Örebro, Sweden

    In this paper, we propose the test for the location of the tangency portfolio on the set of feasible portfolios when both the population and the sample covariance matrices of asset returns are singular. We derive the exact distribution of the test... mehr

    Zugang:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 776
    Fernleihe:
    keine Fernleihe

     

    In this paper, we propose the test for the location of the tangency portfolio on the set of feasible portfolios when both the population and the sample covariance matrices of asset returns are singular. We derive the exact distribution of the test statistic under both the null and alternative hypotheses. Furthermore, we establish the high-dimensional asymptotic distribution of that test statistic when both the portfolio dimension and the sample size increase to infinity. We complement our theoretical findings by comparing the high-dimensional asymptotic test with an exact finite sample test in the numerical study. A good performance of the obtained results is documented.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Array ; 2023, 11
    Schlagworte: Tangency portfolio; Hypothesis testing; Singular Wishart distribution; Singular covariance matrix; Moore-Penrose inverse; High-dimensional asymptotics
    Umfang: 1 Online-Ressource (circa 18 Seiten), Illustrationen