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    A test on the location of tangency portfolio for small sample size and singular covariance matrix by Svitlana Drin, Stepan Mazur, Stanislas Muhinyuza

    Published 2024-07-01
    “…Furthermore, the high-dimensional asymptotic distribution of that test statistic is established when both the rank of the population covariance matrix and the sample size increase to infinity so that $r/n\to c\in (0,1)$. Theoretical findings are completed by comparing the high-dimensional asymptotic test with an exact finite sample test in the numerical study. …”
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