The estimated weights of many optimal portfolios have an exact stochastic representation under normality, and in high dimensions their asymptotic distribution is multivariate normal with explicit bias-corrected estimators.
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Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions
The estimated weights of many optimal portfolios have an exact stochastic representation under normality, and in high dimensions their asymptotic distribution is multivariate normal with explicit bias-corrected estimators.