Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/244587 
Year of Publication: 
2021
Series/Report no.: 
Working Paper No. 13/2021
Publisher: 
Örebro University School of Business, Örebro
Abstract: 
In this paper, we investigate the distributional properties of the estimated tangency portfolio (TP) weights assuming that the asset returns follow a matrix variate closed skew-normal distribution.We establish a stochastic representation of the linear combination of the estimated TP weights that fully characterize its distribution. Using the stochastic representation we derive the mean and variance of the estimated weights of TP which are of key importance in portfolio analysis. Furthermore, we provide the asymptotic distribution of the linear combination of the estimated TP weights under the high-dimensional asymptotic regime, i.e. the dimension of the portfolio p and the sample size n tend to infinity such that p/n → c ∈ (0, 1). A good performance of the theoretical findings is documented in the simulation study. In the empirical study, we apply the theoretical results to real data of the stocks included in the S&P 500 index.
Subjects: 
Asset allocation
high-dimensional asymptotics
matrix variate skew-normal distribution
stochastic representation
tangency portfolio
JEL: 
C13
G11
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.