%0 Generic %1 pav2013asymptotic %A Pav, Steven E. %D 2013 %K asymptotic distribution markowitz myown portfolio quantfinance %T Asymptotic distribution of the Markowitz portfolio %U http://arxiv.org/abs/1312.0557 %X The asymptotic distribution of the Markowitz portfolio is derived, for the general case (assuming fourth moments of returns exist), and for the case of multivariate normal returns. The derivation allows for inference which is robust to heteroskedasticity and autocorrelation of moments up to order four. As a side effect, one can estimate the proportion of error in the Markowitz portfolio due to mis-estimation of the covariance matrix. A likelihood ratio test is given which generalizes Dempster's Covariance Selection test to allow inference on linear combinations of the precision matrix and the Markowitz portfolio. Extensions of the main method to deal with hedged portfolios, conditional heteroskedasticity, and conditional expectation are given.

@misc{pav2013asymptotic, abstract = {The asymptotic distribution of the Markowitz portfolio is derived, for the general case (assuming fourth moments of returns exist), and for the case of multivariate normal returns. The derivation allows for inference which is robust to heteroskedasticity and autocorrelation of moments up to order four. As a side effect, one can estimate the proportion of error in the Markowitz portfolio due to mis-estimation of the covariance matrix. A likelihood ratio test is given which generalizes Dempster's Covariance Selection test to allow inference on linear combinations of the precision matrix and the Markowitz portfolio. Extensions of the main method to deal with hedged portfolios, conditional heteroskedasticity, and conditional expectation are given.}, added-at = {2015-02-05T15:48:14.000+0100}, author = {Pav, Steven E.}, biburl = {https://www.bibsonomy.org/bibtex/22a4f60c39a15f3a7e4e9d83095b4386c/shabbychef}, description = {Asymptotic distribution of the Markowitz portfolio}, interhash = {64e3331c44ae3e436ddbc60c28a33336}, intrahash = {2a4f60c39a15f3a7e4e9d83095b4386c}, keywords = {asymptotic distribution markowitz myown portfolio quantfinance}, note = {cite arxiv:1312.0557Comment: 24 pages}, timestamp = {2015-02-05T15:48:55.000+0100}, title = {Asymptotic distribution of the Markowitz portfolio}, url = {http://arxiv.org/abs/1312.0557}, year = 2013 }