Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/244532 
Year of Publication: 
2017
Series/Report no.: 
Working Paper No. 10/2017
Publisher: 
Örebro University School of Business, Örebro
Abstract: 
In this paper we consider the estimated weights of tangency portfolio. The returns are assumed to be independently and multivariate normally distributed. We derive analytical expressions for the higher order non-central and central moments of these weights. Moreover, the expressions for mean, variance, skewness and kurtosis of the estimated weights are obtained in closed-forms. Finally, we complement our result with an empirical study where we analyze a portfolio with actual returns of eight nancial indexes listed in NASDAQ stock exchange.
Subjects: 
Tangency portfolio
higher order moments
Wishart distribution
JEL: 
C10
C44
Document Type: 
Working Paper

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