Farrukh Javed (), Stepan Mazur () and Edward Ngailo ()
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Farrukh Javed: Örebro University School of Business, Postal: Örebro University, School of Business, SE - 701 82 ÖREBRO, Sweden
Stepan Mazur: Örebro University School of Business, Postal: Örebro University, School of Business, SE - 701 82 ÖREBRO, Sweden
Edward Ngailo: Stockholm University, Postal: Stockholm University, SE-10691 Stockholm, Sweden
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
18 pages, December 7, 2017
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wp-10-2017.pdf
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