Sökning: "Tangency portfolio"
Hittade 5 avhandlingar innehållade orden Tangency portfolio.
1. Statistical Inference of Tangency Portfolio in Small and Large Dimension
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
2. Statistical Methods in Portfolio Theory
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. Modeling the covariance matrix of financial asset returns
Sammanfattning : The covariance matrix of asset returns, which describes the fluctuation of asset prices, plays a crucial role in understanding and predicting financial markets and economic systems. In recent years, the concept of realized covariance measures has become a popular way to accurately estimate return covariance matrices using high-frequency data. LÄS MER
4. Optimal portfolios in the high-dimensional setting : Estimation and assessment of uncertainty
Sammanfattning : Financial portfolios and diversification go hand in hand. Diversification is one of, if not, the best risk mitigation strategy there is. If an investment performs poorly, then it will not impact the performance of the portfolio much due to diversification. Modern Portfolio Theory (MPT) is a framework for constructing diversified portfolios. LÄS MER
5. On functions of a Wishart matrix and a normal vector with applications
Sammanfattning : This thesis consists of two papers which take a critical look on functions of an inverse Wishart matrix and a Gaussian vector. In the first paper, the product expression, of which the inverse of the pooled estimator of the covariance matrix is inverse Wishart distributed and the difference of sample means is multivariate normally distributed, is investigated by exploring the distributional properties via a stochastic representation for both the finite sample case and the infinite sample case under the large-dimensional asymptotic regime. LÄS MER