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On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory

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  • TARAS BODNAR
  • YAREMA OKHRIN

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  • Taras Bodnar & Yarema Okhrin, 2011. "On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 38(2), pages 311-331, June.
    • Handle: RePEc:bla:scjsta:v:38:y:2011:i:2:p:311-331
    DOI: j.1467-9469.2011.00729.x
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    File URL: http://hdl.handle.net/10.1111/j.1467-9469.2011.00729.x
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    Citations

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    Cited by:

    1. Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema, 2013. "On the exact and approximate distributions of the product of a Wishart matrix with a normal vector," Journal of Multivariate Analysis, Elsevier, vol. 122(C), pages 70-81.
    2. Konstantin Glombek, 2014. "Statistical Inference for High-Dimensional Global Minimum Variance Portfolios," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(4), pages 845-865, December.
    3. Mårten Gulliksson & Stepan Mazur, 2020. "An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 773-794, December.
    4. Huang, Zhenzhen & Wei, Pengyu & Weng, Chengguo, 2024. "Tail mean-variance portfolio selection with estimation risk," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 218-234.
    5. Farrukh Javed & Stepan Mazur & Edward Ngailo, 2021. "Higher order moments of the estimated tangency portfolio weights," Journal of Applied Statistics, Taylor & Francis Journals, vol. 48(3), pages 517-535, February.
    6. Mårten Gulliksson & Anna Oleynik & Stepan Mazur, 2024. "Portfolio Selection with a Rank-Deficient Covariance Matrix," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2247-2269, June.
    7. Bauder, David & Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2020. "Bayesian inference of the multi-period optimal portfolio for an exponential utility," Journal of Multivariate Analysis, Elsevier, vol. 175(C).
    8. Steven E. Pav, 2014. "Bounds on Portfolio Quality," Papers 1409.5936, arXiv.org.
    9. Farrukh Javed & Stepan Mazur & Erik Thorsén, 2024. "Tangency portfolio weights under a skew-normal model in small and large dimensions," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 75(7), pages 1395-1406, July.
    10. Taras Bodnar & Stepan Mazur & Nestor Parolya, 2019. "Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix‐variate location mixture of normal distributions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 46(2), pages 636-660, June.
    11. Bodnar, Taras & Mazur, Stepan & Podgórski, Krzysztof & Tyrcha, Joanna, 2018. "Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory," Working Papers 2018:1, Örebro University, School of Business.
    12. Drin, Svitlana & Mazur, Stepan & Muhinyuza, Stanislas, 2023. "A test on the location of tangency portfolio for small sample size and singular covariance matrix," Working Papers 2023:11, Örebro University, School of Business.
    13. Steven E. Pav, 2013. "Asymptotic distribution of the Markowitz portfolio," Papers 1312.0557, arXiv.org, revised Mar 2020.
    14. David Bauder & Taras Bodnar & Stepan Mazur & Yarema Okhrin, 2018. "Bayesian Inference For The Tangent Portfolio," Journal of Enterprising Culture (JEC), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-27, December.
    15. Bodnar, Taras & Mazur, Stepan & Ngailo, Edward & Parolya, Nestor, 2017. "Discriminant analysis in small and large dimensions," Working Papers 2017:6, Örebro University, School of Business.
    16. Bodnar, Taras & Mazur, Stepan & Muhinyuza, Stanislas & Parolya, Nestor, 2017. "On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions," Working Papers 2017:7, Örebro University, School of Business.
    17. Alfelt, Gustav & Mazur, Stepan, 2020. "On the mean and variance of the estimated tangency portfolio weights for small samples," Working Papers 2020:8, Örebro University, School of Business.
    18. Karlsson, Sune & Mazur, Stepan & Muhinyuza, Stanislas, 2020. "Statistical Inference for the Tangency Portfolio in High Dimension," Working Papers 2020:10, Örebro University, School of Business.

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