Proofs that the Gerber Statistic is Positive Semidefinite

S. Gerber; H. Markowitz; P. Ernst; Y. Miao; B. Javid; P. Sargen

Proofs that the Gerber Statistic is Positive Semidefinite

Portfolio Management 2023-05-10 v1

Authors: S. Gerber , H. Markowitz , P. Ernst , Y. Miao , B. Javid , P. Sargen

Abstract

In this brief note, we prove that both forms of the Gerber statistic introduced in Gerber et al. (2022) are positive semi-definite.

Cite

@article{arxiv.2305.05663,
  title  = {Proofs that the Gerber Statistic is Positive Semidefinite},
  author = {S. Gerber and H. Markowitz and P. Ernst and Y. Miao and B. Javid and P. Sargen},
  journal= {arXiv preprint arXiv:2305.05663},
  year   = {2023}
}