(), Stepan Mazur
() and Edward Ngailo
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.
18 pages, December 7, 2017
Full text files
Questions (including download problems) about the papers in this series should be directed to ()
Report other problems with accessing this service to Sune Karlsson ().
This page generated on 2018-02-05 21:24:21.