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

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dc.contributor.authorDrin, Svitlanaen_US
dc.contributor.authorMazur, Stepanen_US
dc.contributor.authorMuhinyuza, Stanislasen_US
dc.date.accessioned2024-11-07T11:57:12Z
dc.date.available2024-11-07T11:57:12Z
dc.date.issued2023
dc.description.abstractIn 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.en_US
dc.identifier.citationDrin S. A test on the location of tangency portfolio for small sample size and singular covariance matrix / Svitlana Drin, Stepan Mazur, Stanislas Muhinyuza // Working Paper (Economics and Statistics) / School of Business, Orebro University, Sweden. - 2023. - Vol. 11. - 17 p.en_US
dc.identifier.issn1403-0586
dc.identifier.urihttps://ekmair.ukma.edu.ua/handle/123456789/32262
dc.language.isoenen_US
dc.relation.sourceWorking Paper (Economics and Statistics)en_US
dc.statusfirst publisheden_US
dc.subjecttangency portfolioen_US
dc.subjecthypothesis testingen_US
dc.subjectsingular Wishart distributionen_US
dc.subjectsingular covariance matrixen_US
dc.subjectMoore-Penrose inverseen_US
dc.subjecthigh-dimensional asymptoticsen_US
dc.subjectarticleen_US
dc.titleA test on the location of tangency portfolio for small sample size and singular covariance matrixen_US
dc.typeArticleen_US
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