Advanced

A linear test for the global minimum variance portfolio for small sample and singular covariance

Bodnar, Taras; Mazur, Stepan LU and Podgorski, Krzysztof LU (2015) In Working Papers in Statistics
Abstract
Bodnar and Schmid (2008) derived the distribution of the global minimum variance portfolio weights and obtained the distribution of the test statistics for the general linear hypothesis. Their results are obtained in the case when the number of observations n is bigger or equal than the size of portfolio k. In the present paper, we extend the result by analyzing the portfolio weights in a small sample case of

n < k, with the singular covariance matrix. The results are illustrated using actual stock returns. A discussion of practical relevance of the model is presented.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Working Paper
publication status
published
subject
keywords
singular co-variance matrix, singular Wishart distribution, small sample problem, global minimum variance portfolio
in
Working Papers in Statistics
issue
10
pages
16 pages
publisher
Department of Statistics, Lund university
language
English
LU publication?
yes
id
dd246158-d68c-4498-a043-37f4739f3d4c (old id 8082777)
date added to LUP
2015-10-22 11:30:08
date last changed
2016-04-16 07:44:23
@misc{dd246158-d68c-4498-a043-37f4739f3d4c,
  abstract     = {Bodnar and Schmid (2008) derived the distribution of the global minimum variance portfolio weights and obtained the distribution of the test statistics for the general linear hypothesis. Their results are obtained in the case when the number of observations n is bigger or equal than the size of portfolio k. In the present paper, we extend the result by analyzing the portfolio weights in a small sample case of<br/><br>
n &lt; k, with the singular covariance matrix. The results are illustrated using actual stock returns. A discussion of practical relevance of the model is presented.},
  author       = {Bodnar, Taras and Mazur, Stepan and Podgorski, Krzysztof},
  keyword      = {singular co-variance matrix,singular Wishart distribution,small sample problem,global minimum variance portfolio},
  language     = {eng},
  number       = {10},
  pages        = {16},
  publisher    = {ARRAY(0x8a5a888)},
  series       = {Working Papers in Statistics},
  title        = {A linear test for the global minimum variance portfolio for small sample and singular covariance},
  year         = {2015},
}