Matches in SemOpenAlex for { <https://semopenalex.org/work/W3025677723> ?p ?o ?g. }
Showing items 1 to 97 of
97
with 100 items per page.
- W3025677723 endingPage "119" @default.
- W3025677723 startingPage "103" @default.
- W3025677723 abstract "In this paper we derive the asymptotic distribution of the test of the efficiency of the tangency portfolio in high-dimensional settings, namely when both the portfolio dimension and the sample size grow to infinity. Moreover, we propose a new test based on the estimator for the slope parameter of the efficient frontier in the mean-variance space when there is a possibility in investing into the riskless asset, and derive the asymptotic distribution of that test statistic under both the null and alternative hypotheses. Additionally, we study the finite sample performance of the derived theoretical results via simulations." @default.
- W3025677723 created "2020-05-21" @default.
- W3025677723 creator A5016221805 @default.
- W3025677723 date "2021-06-16" @default.
- W3025677723 modified "2023-10-01" @default.
- W3025677723 title "A test on mean-variance efficiency of the tangency portfolio in high-dimensional setting" @default.
- W3025677723 cites W1460189015 @default.
- W3025677723 cites W1538646427 @default.
- W3025677723 cites W182452766 @default.
- W3025677723 cites W2027174002 @default.
- W3025677723 cites W2089178963 @default.
- W3025677723 cites W2096370806 @default.
- W3025677723 cites W2113344754 @default.
- W3025677723 cites W2120350343 @default.
- W3025677723 cites W2149990348 @default.
- W3025677723 cites W2498923140 @default.
- W3025677723 cites W2778347515 @default.
- W3025677723 cites W2795413297 @default.
- W3025677723 cites W2795739367 @default.
- W3025677723 cites W2963070656 @default.
- W3025677723 cites W2964077319 @default.
- W3025677723 cites W3041491518 @default.
- W3025677723 doi "https://doi.org/10.1090/tpms/1136" @default.
- W3025677723 hasPublicationYear "2021" @default.
- W3025677723 type Work @default.
- W3025677723 sameAs 3025677723 @default.
- W3025677723 citedByCount "2" @default.
- W3025677723 countsByYear W30256777232021 @default.
- W3025677723 countsByYear W30256777232023 @default.
- W3025677723 crossrefType "journal-article" @default.
- W3025677723 hasAuthorship W3025677723A5016221805 @default.
- W3025677723 hasBestOaLocation W30256777232 @default.
- W3025677723 hasConcept C105795698 @default.
- W3025677723 hasConcept C106159729 @default.
- W3025677723 hasConcept C120639 @default.
- W3025677723 hasConcept C121955636 @default.
- W3025677723 hasConcept C134306372 @default.
- W3025677723 hasConcept C138187205 @default.
- W3025677723 hasConcept C149782125 @default.
- W3025677723 hasConcept C162324750 @default.
- W3025677723 hasConcept C169857963 @default.
- W3025677723 hasConcept C185429906 @default.
- W3025677723 hasConcept C185592680 @default.
- W3025677723 hasConcept C196083921 @default.
- W3025677723 hasConcept C198531522 @default.
- W3025677723 hasConcept C2524010 @default.
- W3025677723 hasConcept C2780821815 @default.
- W3025677723 hasConcept C28826006 @default.
- W3025677723 hasConcept C33923547 @default.
- W3025677723 hasConcept C43617362 @default.
- W3025677723 hasConcept C51485801 @default.
- W3025677723 hasConcept C65778772 @default.
- W3025677723 hasConcept C7321624 @default.
- W3025677723 hasConcept C87007009 @default.
- W3025677723 hasConceptScore W3025677723C105795698 @default.
- W3025677723 hasConceptScore W3025677723C106159729 @default.
- W3025677723 hasConceptScore W3025677723C120639 @default.
- W3025677723 hasConceptScore W3025677723C121955636 @default.
- W3025677723 hasConceptScore W3025677723C134306372 @default.
- W3025677723 hasConceptScore W3025677723C138187205 @default.
- W3025677723 hasConceptScore W3025677723C149782125 @default.
- W3025677723 hasConceptScore W3025677723C162324750 @default.
- W3025677723 hasConceptScore W3025677723C169857963 @default.
- W3025677723 hasConceptScore W3025677723C185429906 @default.
- W3025677723 hasConceptScore W3025677723C185592680 @default.
- W3025677723 hasConceptScore W3025677723C196083921 @default.
- W3025677723 hasConceptScore W3025677723C198531522 @default.
- W3025677723 hasConceptScore W3025677723C2524010 @default.
- W3025677723 hasConceptScore W3025677723C2780821815 @default.
- W3025677723 hasConceptScore W3025677723C28826006 @default.
- W3025677723 hasConceptScore W3025677723C33923547 @default.
- W3025677723 hasConceptScore W3025677723C43617362 @default.
- W3025677723 hasConceptScore W3025677723C51485801 @default.
- W3025677723 hasConceptScore W3025677723C65778772 @default.
- W3025677723 hasConceptScore W3025677723C7321624 @default.
- W3025677723 hasConceptScore W3025677723C87007009 @default.
- W3025677723 hasLocation W30256777231 @default.
- W3025677723 hasLocation W30256777232 @default.
- W3025677723 hasOpenAccess W3025677723 @default.
- W3025677723 hasPrimaryLocation W30256777231 @default.
- W3025677723 hasRelatedWork W1970221037 @default.
- W3025677723 hasRelatedWork W2015412018 @default.
- W3025677723 hasRelatedWork W2018490949 @default.
- W3025677723 hasRelatedWork W2032828899 @default.
- W3025677723 hasRelatedWork W2034631038 @default.
- W3025677723 hasRelatedWork W2182828051 @default.
- W3025677723 hasRelatedWork W2185462963 @default.
- W3025677723 hasRelatedWork W3000603176 @default.
- W3025677723 hasRelatedWork W3147334312 @default.
- W3025677723 hasRelatedWork W4283818224 @default.
- W3025677723 hasVolume "103" @default.
- W3025677723 isParatext "false" @default.
- W3025677723 isRetracted "false" @default.
- W3025677723 magId "3025677723" @default.
- W3025677723 workType "article" @default.