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Article provided by Springer in its journal Metrika.

Volume (Year): 67 (2008)
Issue (Month): 2 (March)
Pages: 127-143
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Handle: RePEc:spr:metrik:v:67:y:2008:i:2:p:127-143

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Related research

Keywords: Portfolio analysis; Global minimum variance portfolio; Elliptically contoured distribution; General linear hypothesis;

References listed on IDEAS
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1. Markowitz, Harry M, 1991. " Foundations of Portfolio Theory," Journal of Finance, American Finance Association, vol. 46(2), pages 469-77, June. [Downloadable!] (restricted)
   Other versions:
   • Markowitz, Harry M., 1990. "Foundations of Portfolio Theory," Nobel Prize in Economics documents 1990-1, Nobel Prize Committee. [Downloadable!]
2. Berk, Jonathan B., 1997. "Necessary Conditions for the CAPM," Journal of Economic Theory, Elsevier, vol. 73(1), pages 245-257, March. [Downloadable!] (restricted)
3. Gibbons, Michael R., 1982. "Multivariate tests of financial models : A new approach," Journal of Financial Economics, Elsevier, vol. 10(1), pages 3-27, March. [Downloadable!] (restricted)
4. Heathcote, C. R. & Rachev, S. T. & Cheng, B., 1995. "Testing Multivariate Symmetry," Journal of Multivariate Analysis, Elsevier, vol. 54(1), pages 91-112, July. [Downloadable!] (restricted)
5. Okhrin, Yarema & Schmid, Wolfgang, 2006. "Distributional properties of portfolio weights," Journal of Econometrics, Elsevier, vol. 134(1), pages 235-256, September. [Downloadable!] (restricted)
6. John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," CRSP working papers 491, Center for Research in Security Prices, Graduate School of Business, University of Chicago. [Downloadable!]
   Other versions:
   • John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," NBER Working Papers 7170, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • John H. Cochrane, 1999. "Portfolio advice of a multifactor world," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 59-78. [Downloadable!]
7. Manzotti, A. & Pérez, Francisco J. & Quiroz, Adolfo J., 2002. "A Statistic for Testing the Null Hypothesis of Elliptical Symmetry," Journal of Multivariate Analysis, Elsevier, vol. 81(2), pages 274-285, May. [Downloadable!] (restricted)

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