In the paper the asymptotic distributions of sample optimal portfolio weights are derived. This is done under the weak assumption on the data generating process. It is assumed that the k -dimensional vector of asset returns follows a VARMA( 1 1 , p q )GARCH( 2 2 , p q ) process with the elliptically distributed error process. The estimators of the mean vector and the covariance matrix of the as...

In this article, we deal with weak convergence on sequences in real normed spaces, and weak* convergence on sequences in dual spaces of real normed spaces. In the first section, we proved some topological properties of dual spaces of real normed spaces. We used these theorems for proofs of Section 3. In Section 2, we defined weak convergence and weak* convergence, and proved some properties. By...