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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Taylor & Francis
2020
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| Materias: | |
| 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 |