Abstract
Bodnar and Schmid (2008) derived the distribution of the global minimum variance portfolio weights and obtained the distribution of the test statistics for the general linear hypothesis. Their results are obtained in the case when the number of observations n is bigger or equal than the size of portfolio k. In the present paper, we extend the result by analyzing the portfolio weights in a small sample case of
n < k, with the singular covariance matrix. The results are illustrated using actual stock returns. A discussion of practical relevance of the model is presented.
n < k, with the singular covariance matrix. The results are illustrated using actual stock returns. A discussion of practical relevance of the model is presented.
| Original language | English |
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| Publisher | Department of Statistics, Lund university |
| Number of pages | 16 |
| Publication status | Published - 2015 |
Publication series
| Name | Working Papers in Statistics |
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| No. | 10 |
Subject classification (UKÄ)
- Other Natural Sciences not elsewhere specified
Free keywords
- singular co-variance matrix
- singular Wishart distribution
- small sample problem
- global minimum variance portfolio