A linear test for the global minimum variance portfolio for small sample and singular covariance
(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:
https://lup.lub.lu.se/record/8082777
- author
- Bodnar, Taras ; Mazur, Stepan LU and Podgorski, Krzysztof LU
- organization
- publishing date
- 2015
- type
- Working paper/Preprint
- 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
- 2016-04-04 10:18:58
- date last changed
- 2018-11-21 20:58:03
@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 < 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}}, keywords = {{singular co-variance matrix; singular Wishart distribution; small sample problem; global minimum variance portfolio}}, language = {{eng}}, note = {{Working Paper}}, number = {{10}}, publisher = {{Department of Statistics, Lund university}}, series = {{Working Papers in Statistics}}, title = {{A linear test for the global minimum variance portfolio for small sample and singular covariance}}, url = {{https://lup.lub.lu.se/search/files/5510367/8082778.pdf}}, year = {{2015}}, }