On the cross-sectional distribution of portfolios' returns
JRC Working Papers in Economics and Finance 2019/11
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 positive and sum up to 1. We provide algorithms and formulas from computational geometry and spline literature 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 for equal asset returns.
CALÈS Ludovic;
CHALKIS Apostolos;
EMIRIS Ioannis;
2019-05-15
Publications Office of the European Union
JRC116554
978-92-76-03963-1 (online),
2467-2203 (online),
OP KJ-AE-19-011-EN-N (online),
https://publications.jrc.ec.europa.eu/repository/handle/JRC116554,
10.2760/12907 (online),
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