A test on the location of tangency portfolio for small sample size and singular covariance matrix
The test for the location of the tangency portfolio on the set of feasible portfolios is proposed when both the population and the sample covariance matrices of asset returns are singular. The particular case of investigation is when the number of observations, n, is smaller than the number of asset...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
VTeX
2024-07-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://www.vmsta.org/doi/10.15559/24-VMSTA261 |
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