Proofs that the Gerber Statistic is Positive Semidefinite

S. Gerber, Harry Markowitz, P. Ernst, Y. Miao, B. Javid and P. Sargen

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Abstract: In this brief note, we prove that both forms of the Gerber statistic introduced in Gerber et al. (2022) are positive semi-definite.

Date: 2023-05
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