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Hittade 2 avhandlingar som matchar ovanstående sökkriterier.

1. 1. Statistical Methods in Portfolio Theory

   Författare :Stanislas Muhinyuza; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : In this thesis we develop new statistical theory and apply it to practical problems dealing with mean-variance optimal portfolio selection. More precisely, we derive an exact statistical test for the characterization of the location of the tangency portfolio (TP) on the efficient frontier. LÄS MER

3. 2. Statistical Inference of Tangency Portfolio in Small and Large Dimension

   Författare :Stanislas Muhinyuza; Taras Bodnar; Dietrich von Rosen; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Tangency portfolio; Mean-variance portfolio; High-dimensional asymptotics; Test theory; Mathematical Statistics; matematisk statistik;

   Sammanfattning : This thesis considers statistical test theory in portfolio theory. It analyses the asymptotic behavior of the considered tests in the high-dimensional setting, meaning k/n → c ∈ (0, ∞) as n → ∞, where k and n are portfolio size and sample size, respectively. LÄS MER