Working Papers, School of Business, Örebro University
Higher order moments of the estimated tangency portfolio weights
(), Stepan Mazur
() and Edward Ngailo
Abstract: In this paper we consider the estimated weights of
tangency portfolio. The returns are assumed to be independently and
multivariate normally distributed. We derive analytical expressions for the
higher order non-central and central moments of these weights. Moreover,
the expressions for mean, variance, skewness and kurtosis of the estimated
weights are obtained in closed-forms. Finally, we complement our result
with an empirical study where we analyze a portfolio with actual returns of
eight nancial indexes listed in NASDAQ stock exchange.
Keywords: Tangency portfolio; higher order moments; Wishart distribution; (follow links to similar papers)
JEL-Codes: C10; C44; (follow links to similar papers)
18 pages, December 7, 2017
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