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Distributional properties of portfolio weights

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  • Okhrin, Yarema
  • Schmid, Wolfgang
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-4GWBF60-1/2/c3eb5f85a4be417eaa79a8a8fec04e48
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 134 (2006)
    Issue (Month): 1 (September)
    Pages: 235-256

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    Handle: RePEc:eee:econom:v:134:y:2006:i:1:p:235-256

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    Web page: http://www.elsevier.com/locate/jeconom

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    References

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    1. A. CRAIG MacKINLAY & LUBOŠ PÁSTOR, . "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," CRSP working papers 362, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    2. French, Kenneth R & Poterba, James M, 1991. "Investor Diversification and International Equity Markets," American Economic Review, American Economic Association, vol. 81(2), pages 222-26, May.
    3. Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September.
    4. Robert C. Merton, 1980. "On Estimating the Expected Return on the Market: An Exploratory Investigation," NBER Working Papers 0444, National Bureau of Economic Research, Inc.
    5. Nicholas Barberis, 2000. "Investing for the Long Run when Returns Are Predictable," Journal of Finance, American Finance Association, vol. 55(1), pages 225-264, 02.
    6. John H. Cochrane, 1999. "Portfolio advice of a multifactor world," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 59-78.
    7. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
    8. Jeff Fleming, 2001. "The Economic Value of Volatility Timing," Journal of Finance, American Finance Association, vol. 56(1), pages 329-352, 02.
    9. Markowitz, Harry M., 1990. "Foundations of Portfolio Theory," Nobel Prize in Economics documents 1990-1, Nobel Prize Committee.
    10. Boness, A James & Chen, Andrew H Y & Jatusipitak, Som, 1974. "Investigations of Nonstationarity in Prices," The Journal of Business, University of Chicago Press, vol. 47(4), pages 518-37, October.
    11. Samuelson, Paul A, 1970. "The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances, and Higher Moments," Review of Economic Studies, Wiley Blackwell, vol. 37(4), pages 537-42, October.
    12. Andrew Ang & Geert Bekaert, 2002. "International Asset Allocation With Regime Shifts," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1137-1187.
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    Citations

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    Cited by:
    1. Taras Bodnar & Wolfgang Schmid, 2008. "A test for the weights of the global minimum variance portfolio in an elliptical model," Metrika, Springer, vol. 67(2), pages 127-143, March.
    2. Palczewski, Andrzej & Palczewski, Jan, 2014. "Theoretical and empirical estimates of mean–variance portfolio sensitivity," European Journal of Operational Research, Elsevier, vol. 234(2), pages 402-410.
    3. Gabriel Frahm, 2010. "Linear statistical inference for global and local minimum variance portfolios," Statistical Papers, Springer, vol. 51(4), pages 789-812, December.
    4. Yarema Okhrin & Wolfgang Schmid, 2007. "Comparison of different estimation techniques for portfolio selection," AStA Advances in Statistical Analysis, Springer, vol. 91(2), pages 109-127, August.
    5. Frahm, Gabriel & Memmel, Christoph, 2008. "Dominating estimators for the global minimum variance portfolio," Discussion Papers in Statistics and Econometrics 2/08, University of Cologne, Department for Economic and Social Statistics.
    6. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2013. "On the equivalence of quadratic optimization problems commonly used in portfolio theory," European Journal of Operational Research, Elsevier, vol. 229(3), pages 637-644.
    7. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory," Papers 1207.1029, arXiv.org, revised Apr 2013.
    8. Turtle, H.J. & Zhang, Chengping, 2012. "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 334-348.
    9. Taras Bodnar & Wolfgang Schmid & Taras Zabolotskyy, 2009. "Statistical inference of the efficient frontier for dependent asset returns," Statistical Papers, Springer, vol. 50(3), pages 593-604, June.
    10. Golosnoy, Vasyl & Ragulin, Sergiy & Schmid, Wolfgang, 2011. "CUSUM control charts for monitoring optimal portfolio weights," Computational Statistics & Data Analysis, Elsevier, vol. 55(11), pages 2991-3009, November.
    11. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function," Papers 1207.1003, arXiv.org.
    12. Wolfgang Schmid & Taras Zabolotskyy, 2008. "On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio," AStA Advances in Statistical Analysis, Springer, vol. 92(1), pages 29-34, February.
    13. Olha Bodnar & Taras Bodnar, 2009. "Statistical inference procedure for the mean–variance efficient frontier with estimated parameters," AStA Advances in Statistical Analysis, Springer, vol. 93(3), pages 295-306, September.
    14. Vasyl Golosnoy, 2007. "Sequential monitoring of minimum variance portfolio," AStA Advances in Statistical Analysis, Springer, vol. 91(1), pages 39-55, March.
    15. Kourtis, Apostolos & Dotsis, George & Markellos, Raphael N., 2012. "Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2522-2531.
    16. Francisco Rubio & Xavier Mestre & Daniel P. Palomar, 2011. "Performance analysis and optimal selection of large mean-variance portfolios under estimation risk," Papers 1110.3460, arXiv.org.
    17. Frahm, Gabriel & Memmel, Christoph, 2010. "Dominating estimators for minimum-variance portfolios," Journal of Econometrics, Elsevier, vol. 159(2), pages 289-302, December.
    18. Bodnar, Taras & Okhrin, Yarema, 2008. "Properties of the singular, inverse and generalized inverse partitioned Wishart distributions," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2389-2405, November.
    19. Frahm, Gabriel, 2007. "Linear statistical inference for global and local minimum variance portfolios," Discussion Papers in Statistics and Econometrics 1/07, University of Cologne, Department for Economic and Social Statistics.
    20. Steven E. Pav, 2013. "Asymptotic distribution of the Markowitz portfolio," Papers 1312.0557, arXiv.org, revised Dec 2013.
    21. Golosnoy, Vasyl & Okhrin, Yarema, 2009. "Flexible shrinkage in portfolio selection," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 317-328, February.

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