Higher order moments of the estimated tangency portfolio weights

In this paper, we consider the estimated weights of the tangency portfolio. We derive analytical expressions for the higher order non-central and central moments of these weights when the returns are assumed to be independently and multivariate normally distributed. Moreover, the expressions for mea...

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Detalles Bibliográficos
Autores principales: Javed, Farrukh, Mazur, Stepan, Ngailo, Edward
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Taylor & Francis 2020
Materias:
Articles
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9041990/
https://www.ncbi.nlm.nih.gov/pubmed/35706539
http://dx.doi.org/10.1080/02664763.2020.1736523

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9041990/
https://www.ncbi.nlm.nih.gov/pubmed/35706539
http://dx.doi.org/10.1080/02664763.2020.1736523

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