Published May 15, 2019
| Version v1
Report
On the cross-sectional distribution of portfolio returns
- Others:
- European Commission - Joint Research Centre [Ispra] (JRC)
- National and Kapodistrian University of Athens (NKUA)
- AlgebRe, geOmetrie, Modelisation et AlgoriTHmes (AROMATH) ; Inria Sophia Antipolis - Méditerranée (CRISAM) ; Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-National and Kapodistrian University of Athens (NKUA)
- EU publications
Description
The aim of this paper is to study the distribution of portfolio returns across portfolios, and for given asset returns. We focus on the most common type of investment, considering portfolios whose weights are non-negative and sum up to 1. We provide algorithms and formulas from computational geometry and the literature on splines to compute the exact values of the probability density function, and of the cumulative distribution function, at any point. We also provide closed form solutions for the computation of its first four moments, and an algorithm to compute the higher moments. All algorithms and formulas allow also for equal asset returns.
Additional details
- URL
- https://hal.inria.fr/hal-02398730
- URN
- urn:oai:HAL:hal-02398730v1
- Origin repository
- UNICA