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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 15/2022
- Classification
-
Wirtschaft
Portfolio Choice; Investment Decisions
- Subject
-
singular Wishart distribution
mean-variance portfolio
Moore-Penrose inverse
- Event
-
Geistige Schöpfung
- (who)
-
Bodnar, Taras
Mazur, Stepan
Nguyen, Hoang
- Event
-
Veröffentlichung
- (who)
-
Örebro University School of Business
- (where)
-
Örebro
- (when)
-
2022
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Bodnar, Taras
- Mazur, Stepan
- Nguyen, Hoang
- Örebro University School of Business
Time of origin
- 2022
Other Objects (12)
Covariance prediction in large portfolio allocation
Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory
Singular conditional autoregressive Wishart model for realized covariance matrices
Asymptotics for linear spectral statistics of sample covariance matrices
Bootstrap Confidence Sets for Spectral Projectors of Sample Covariance
Risk-based portfolios with large dynamic covariance matrices
Portfolio Selection with a Rank-deficient Covariance Matrix
Testing Out-of-sample Portfolio Performance
Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties
Spectral analysis of high-dimensional sample covariance matrices with missing observations
Short-run wavelet-based covariance regimes for applied portfolio management
Improved covariance matrix estimation for portfolio risk measurement: A review
Covariance prediction in large portfolio allocation
Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory
Singular conditional autoregressive Wishart model for realized covariance matrices
Asymptotics for linear spectral statistics of sample covariance matrices
Bootstrap Confidence Sets for Spectral Projectors of Sample Covariance
Risk-based portfolios with large dynamic covariance matrices
Portfolio Selection with a Rank-deficient Covariance Matrix
Testing Out-of-sample Portfolio Performance
Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties
Spectral analysis of high-dimensional sample covariance matrices with missing observations
Short-run wavelet-based covariance regimes for applied portfolio management
Improved covariance matrix estimation for portfolio risk measurement: A review
Covariance prediction in large portfolio allocation
Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory
Singular conditional autoregressive Wishart model for realized covariance matrices
Asymptotics for linear spectral statistics of sample covariance matrices
Bootstrap Confidence Sets for Spectral Projectors of Sample Covariance
Risk-based portfolios with large dynamic covariance matrices
Portfolio Selection with a Rank-deficient Covariance Matrix
Testing Out-of-sample Portfolio Performance
Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties
Spectral analysis of high-dimensional sample covariance matrices with missing observations
Short-run wavelet-based covariance regimes for applied portfolio management