Eventos > Probability and Statistics Seminar

Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting

31/10/2017 Tuesday 31st October 2017, 11:00 (Room P3.10, Mathematics Building)  More
Wolfgang Schmid, European University, Frankfurt (Oder), Germany

In this talk tests for the weights of the global minimum variance portfolio (GMVP) in a high-dimensional setting are presented, namely when the number of assets $p$ depends on the sample size $n$ such that $p/n \to c$ in $(0,1)$, as $n$ tends to infinity. The introduced tests are based on the sample estimator and on a shrinkage estimator of the GMVP weights (cf. Bodnar et al. 2017). The asymptotic distributions of both test statistics under the null and alternative hypotheses are derived. Moreover, we provide a simulation study where the performance of the proposed tests is compared with each other and with an approach of Glombeck (2014). A good performance of the test based on the shrinkage estimator is observed even for values of $c$ close to $1$.

(joint work with Taras Bodnar, Solomiia Dmytriv and Nestor Parolya)


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