Distributional properties of portfolio weights

Journal of Econometrics

Volumn 134, Issue 1, 2006, Pages 235-256

  Okhrin, Yarema ^a   Schmid, Wolfgang ^a  

^a EUROPEAN UNIVERSITY   (Germany)

Author keywords

Multivariate distribution; Optimal portfolio weights; Wishart distribution

Indexed keywords

ASYMPTOTIC STABILITY; OPTIMIZATION; PROBABILITY DENSITY FUNCTION; STATISTICAL METHODS;

ASYMPTOTIC DISTRIBUTIONS; MULTIVARIATE DISTRIBUTION; OPTIMAL PORTFOLIO WEIGHTS; WISHART DISTRIBUTION;

PARAMETER ESTIMATION;

EID: 33746239352     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.06.022     Document Type: Article

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