|
|
|
|
LEADER |
01000caa a22002652 4500 |
001 |
NLM342279262 |
003 |
DE-627 |
005 |
20240826232320.0 |
007 |
cr uuu---uuuuu |
008 |
231226s2021 xx |||||o 00| ||eng c |
024 |
7 |
|
|a 10.1080/02664763.2020.1736523
|2 doi
|
028 |
5 |
2 |
|a pubmed24n1513.xml
|
035 |
|
|
|a (DE-627)NLM342279262
|
035 |
|
|
|a (NLM)35706539
|
040 |
|
|
|a DE-627
|b ger
|c DE-627
|e rakwb
|
041 |
|
|
|a eng
|
100 |
1 |
|
|a Javed, Farrukh
|e verfasserin
|4 aut
|
245 |
1 |
0 |
|a Higher order moments of the estimated tangency portfolio weights
|
264 |
|
1 |
|c 2021
|
336 |
|
|
|a Text
|b txt
|2 rdacontent
|
337 |
|
|
|a ƒaComputermedien
|b c
|2 rdamedia
|
338 |
|
|
|a ƒa Online-Ressource
|b cr
|2 rdacarrier
|
500 |
|
|
|a Date Revised 26.08.2024
|
500 |
|
|
|a published: Electronic-eCollection
|
500 |
|
|
|a Citation Status PubMed-not-MEDLINE
|
520 |
|
|
|a © 2020 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group.
|
520 |
|
|
|a In this paper, we consider the estimated weights of the tangency portfolio. We derive analytical expressions for the higher order non-central and central moments of these weights when the returns are assumed to be independently and multivariate normally distributed. Moreover, the expressions for mean, variance, skewness and kurtosis of the estimated weights are obtained in closed forms. Later, we complement our results with a simulation study where data from the multivariate normal and t-distributions are simulated, and the first four moments of estimated weights are computed by using the Monte Carlo experiment. It is noteworthy to mention that the distributional assumption of returns is found to be important, especially for the first two moments. Finally, through an empirical illustration utilizing returns of four financial indices listed in NASDAQ stock exchange, we observe the presence of time dynamics in higher moments
|
650 |
|
4 |
|a Journal Article
|
650 |
|
4 |
|a Tangency portfolio
|
650 |
|
4 |
|a Wishart distribution
|
650 |
|
4 |
|a higher order moments
|
700 |
1 |
|
|a Mazur, Stepan
|e verfasserin
|4 aut
|
700 |
1 |
|
|a Ngailo, Edward
|e verfasserin
|4 aut
|
773 |
0 |
8 |
|i Enthalten in
|t Journal of applied statistics
|d 1991
|g 48(2021), 3 vom: 01., Seite 517-535
|w (DE-627)NLM098188178
|x 0266-4763
|7 nnns
|
773 |
1 |
8 |
|g volume:48
|g year:2021
|g number:3
|g day:01
|g pages:517-535
|
856 |
4 |
0 |
|u http://dx.doi.org/10.1080/02664763.2020.1736523
|3 Volltext
|
912 |
|
|
|a GBV_USEFLAG_A
|
912 |
|
|
|a SYSFLAG_A
|
912 |
|
|
|a GBV_NLM
|
912 |
|
|
|a GBV_ILN_350
|
951 |
|
|
|a AR
|
952 |
|
|
|d 48
|j 2021
|e 3
|b 01
|h 517-535
|