On the cross-sectional distribution of portfolio returns

Ludovic Calès, Apostolos Chalkis () and Ioannis Z. Emiris ()
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Apostolos Chalkis: National and Kapodistrian University of Athens
Ioannis Z. Emiris: National and Kapodistrian University of Athens

No 2019-11, JRC Working Papers in Economics and Finance from Joint Research Centre, European Commission

Abstract: The aim of this paper is to study the distribution of portfolio returns across portfolios and for given asset returns. We focus on the most common type of investment considering portfolios whose weights are non-negative and sum up to 1. We provide algorithms and formulas from computational geometry and the literature on splines to compute the exact values of the probability density function, and of the cumulative distribution function at any point. We also provide closed-form solutions for the computation of its first four moments, and an algorithm to compute the higher moments. All algorithms and formulas allow for equal asset returns.

Keywords: Cross-section of portfolios; Finance; Geometry; B-spline (search for similar items in EconPapers)
JEL-codes: C6 G11 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2019-07
New Economics Papers: this item is included in nep-fmk and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published by Publications office of the European Union, 2019

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Persistent link: https://EconPapers.repec.org/RePEc:jrs:wpaper:201911

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