{"title":"A test on mean-variance efficiency of the tangency portfolio in high-dimensional setting","authors":"Stanislas Muhinyuza","doi":"10.1090/TPMS/1136","DOIUrl":null,"url":null,"abstract":"In this paper we derive the asymptotic distribution of the test of the efficiency of the tangency portfolio in high-dimensional settings, namely when both the portfolio dimension and the sample siz ...","PeriodicalId":42776,"journal":{"name":"Theory of Probability and Mathematical Statistics","volume":null,"pages":null},"PeriodicalIF":0.4000,"publicationDate":"2021-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Theory of Probability and Mathematical Statistics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1090/TPMS/1136","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 2
Abstract
In this paper we derive the asymptotic distribution of the test of the efficiency of the tangency portfolio in high-dimensional settings, namely when both the portfolio dimension and the sample siz ...
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