Arbeitspapier

Estimation of optimal portfolio compositions for small sample and singular covariance matrix

In the paper we consider the optimal portfolio choice problem under parameter uncertainty when the covariance matrix of asset returns is singular. Very useful stochastic representations are deduced for the characteristics of the expected utility optimal portfolio. Using these stochastic representations, we derive the moments of higher order of the estimated expected return and the estimated variance of the expected utility optimal portfolio. Another line of applications leads to their asymptotic distributions obtained in the high-dimensional setting. Via a simulation study, it is shown that the derived high-dimensional asymptotic distributions provide good approximations of the exact ones even for moderate sample sizes.

Sprache
Englisch

Erschienen in
Series: Working Paper ; No. 15/2022

Klassifikation
Wirtschaft
Portfolio Choice; Investment Decisions
Thema
singular Wishart distribution
mean-variance portfolio
Moore-Penrose inverse

Ereignis
Geistige Schöpfung
(wer)
Bodnar, Taras
Mazur, Stepan
Nguyen, Hoang
Ereignis
Veröffentlichung
(wer)
Örebro University School of Business
(wo)
Örebro
(wann)
2022

Handle
Letzte Aktualisierung
10.03.2025, 11:41 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Bodnar, Taras
  • Mazur, Stepan
  • Nguyen, Hoang
  • Örebro University School of Business

Entstanden

  • 2022

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