Higher order moments of the estimated tangency portfolio weights

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
Edward Ngailo: Stockholm University, Postal: Stockholm University, SE-10691 Stockholm, Sweden

No 2017:10, Working Papers from Örebro University, School of Business

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 (search for similar items in EconPapers)
JEL-codes: C10 C44 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2017-12-07
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Higher order moments of the estimated tangency portfolio weights (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:oruesi:2017_010

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