A test for the weights of the global minimum variance portfolio in an elliptical model
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Bibliographic InfoArticle provided by Springer in its journal Metrika.
Volume (Year): 67 (2008)
Issue (Month): 2 (March)
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Web page: http://www.springerlink.com/link.asp?id=102509
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- Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2014. "Estimation of the Global Minimum Variance Portfolio in High Dimensions," Papers 1406.0437, arXiv.org.
- Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012.
"On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory,"
1207.1029, arXiv.org, revised Apr 2013.
- 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, Elsevier, vol. 229(3), pages 637-644.
- 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.
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