A test on the location of the tangency portfolio on the set of feasible portfolios

作者：

Highlights：

• A test is suggested on the location of the tangency portfolio on the set of feasible portfolios

• The distribution of the test statistic is derived under both hypotheses

• Out-of-sample performance of the test is evaluated based on real data

• Robustness to the assumption of normality is investigated via a simulation study

摘要

•A test is suggested on the location of the tangency portfolio on the set of feasible portfolios•The distribution of the test statistic is derived under both hypotheses•Out-of-sample performance of the test is evaluated based on real data•Robustness to the assumption of normality is investigated via a simulation study

论文关键词：tangency portfolio,feasible portfolios,test theory,power function,out-of-sample performance

论文评审过程：Received 24 June 2018, Revised 27 March 2020, Accepted 5 July 2020, Available online 23 July 2020, Version of Record 23 July 2020.

论文官网地址：https://doi.org/10.1016/j.amc.2020.125519