Tangency portfolio weights under a skew-normal model in small and large dimensions
In this paper, we investigate the distributional properties of the estimated tangency portfolio (TP) weights assuming that the asset returns follow a matrix variate closed skew-normal distribution. We establish a stochastic representation of the linear combination of the estimated TP weights that fully characterizes its distribution. Using the stochastic representation we derive the mean and variaIn this paper, we investigate the distributional properties of the estimated tangency portfolio (TP) weights assuming that the asset returns follow a matrix variate closed skew-normal distribution. We establish a stochastic representation of the linear combination of the estimated TP weights that fully characterizes its distribution. Using the stochastic representation we derive the mean and varia
