13 citations · 13 across the 3 of their papers we have counts for
3 papers
q-fin.PM2026
The Sherman-Morrison-Markowitz Portfolio
Steven E. Pav
We show that the Markowitz portfolio is a scalar multiple of another portfolio which replaces the covariance with the second moment matrix, via simple application of the Sherman-Mo…
stat.ME2020
Inference on Achieved Signal Noise Ratio
Steven E. Pav
We describe a procedure to perform approximate inference on the achieved signal-noise ratio of the Markowitz Portfolio under Gaussian i.i.d. returns. The procedure relies on a stat…
stat.AP2015★ 13 cited
Moments of the log non-central chi-square distribution
Steven E. Pav
The cumulants and moments of the log of the non-central chi-square distribution are derived. For example, the expected log of a chi-square random variable with v degrees of freedom…