A linear test for the global minimum variance portfolio for small sample and singular covariance

Forskningsoutput: Working paper

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.

Detaljer

Författare
Enheter & grupper
Forskningsområden

Ämnesklassifikation (UKÄ) – OBLIGATORISK

  • Övrig annan naturvetenskap

Nyckelord

Originalspråkengelska
FörlagDepartment of Statistics, Lund university
Antal sidor16
StatusPublished - 2015
PublikationskategoriForskning

Publikationsserier

NamnWorking Papers in Statistics
Nr.10

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