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Linear statistical inference for global and local minimum variance portfolios

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  • Gabriel Frahm

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    File URL: http://hdl.handle.net/10.1007/s00362-008-0170-z
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    Bibliographic Info

    Article provided by Springer in its journal Statistical Papers.

    Volume (Year): 51 (2010)
    Issue (Month): 4 (December)
    Pages: 789-812

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    Handle: RePEc:spr:stpapr:v:51:y:2010:i:4:p:789-812

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    Web page: http://www.springer.com/statistics/business/journal/362

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    Related research

    Keywords: Estimation risk; Linear regression theory; Markowitz portfolio; Minimum variance portfolio; Portfolio optimization; Top down investment; 62F03; 91B28;

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    References

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    1. Frost, Peter A. & Savarino, James E., 1986. "An Empirical Bayes Approach to Efficient Portfolio Selection," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(03), pages 293-305, September.
    2. Alexander Kempf & Christoph Memmel, 2006. "Estimating the global Minimum Variance Portfolio," Schmalenbach Business Review (sbr), LMU Munich School of Management, vol. 58(4), pages 332-348, October.
    3. Frahm, Gabriel, 2007. "Testing for the best alternative with an application to performance measurement," Discussion Papers in Statistics and Econometrics 7/07, University of Cologne, Department for Economic and Social Statistics.
    4. Green, R.C. & Hollifield, B., 1990. "When Will Mean-Variance Efficient Portfolios Be Well Diversified?," GSIA Working Papers 1990-12, Carnegie Mellon University, Tepper School of Business.
    5. Okhrin, Yarema & Schmid, Wolfgang, 2006. "Distributional properties of portfolio weights," Journal of Econometrics, Elsevier, vol. 134(1), pages 235-256, September.
    6. Grauer, Robert R. & Shen, Frederick C., 2000. "Do constraints improve portfolio performance?," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1253-1274, August.
    7. Klein, Roger W. & Bawa, Vijay S., 1976. "The effect of estimation risk on optimal portfolio choice," Journal of Financial Economics, Elsevier, vol. 3(3), pages 215-231, June.
    8. Ravi Jagannathan & Tongshu Ma, 2003. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," Journal of Finance, American Finance Association, vol. 58(4), pages 1651-1684, 08.
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    Cited by:
    1. Wickern, Tobias, 2011. "Confidence in prior knowledge: Calibration and impact on portfolio performance," Discussion Papers in Statistics and Econometrics 7/11, University of Cologne, Department for Economic and Social Statistics.

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