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Browsing by Subject "Tangency portfolio. Mean-variance portfolio, High-dimensional asymptotics"

Browsing by Subject "Tangency portfolio. Mean-variance portfolio, High-dimensional asymptotics"

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  • MUHINYUZA, Stanislas (Stockholm University, 2020-06-10)
    This thesis considers statistical test theory in portfolio theory. It analyses the asymptotic behavior of the considered tests in the high-dimensional setting, meaning k/n → c ∈ (0, ∞) as n → ∞, where k and n are portfolio ...

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