Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/244532 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
Working Paper No. 10/2017
Verlag: 
Örebro University School of Business, Örebro
Zusammenfassung: 
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.
Schlagwörter: 
Tangency portfolio
higher order moments
Wishart distribution
JEL: 
C10
C44
Dokumentart: 
Working Paper

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