Scandinavian Working Papers in Economics
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School of Business, Örebro University Working Papers, School of Business, Örebro University

No 2017:10:
Higher order moments of the estimated tangency portfolio weights

Farrukh Javed (), 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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