A test for the global minimum variance portfolio for small sample and singular covariance

作者：Bodnar Taras; Mazur Stepan^*; Podgorski Krzysztof

来源：ASTA-Advances in Statistical Analysis, 2017, 101(3): 253-265.

DOI：10.1007/s10182-016-0282-z

• Global minimum variance portfolio
• Singular Wishart distribution
• Singular covariance matrix
• Small sample problem

Recently, a test dealing with the linear hypothesis for the global minimum variance portfolio weights was obtained under the assumption of non-singular covariance matrix. However, the problem of potential multicollinearity and correlations of assets constitutes a limitation of the classical portfolio theory. Therefore, there is an interest in developing theory in the presence of singularities in the covariance matrix. In this paper, we extend the test by analyzing the portfolio weights in the small sample case with a singular population covariance matrix. The results are illustrated using actual stock returns and a discussion of practical relevance of the model is presented.

• 出版日期2017-7