Econometrical analysis of the sample efficient frontier
AbstractThe efficient frontier is a parabola in the mean-variance space which is uniquely determined by three characteristics. Assuming that the portfolio asset returns are independent and multivariate normally distributed, we derive tests and confidence sets for all possible arrangements of these characteristics. Note that all of our results are based on the exact distributions for a finite sample size. Moreover, we determine a confidence region of the whole efficient frontier in the mean-variance space. It is shown that this set is bordered by five parabolas.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal The European Journal of Finance.
Volume (Year): 15 (2009)
Issue (Month): 3 ()
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Web page: http://www.tandfonline.com/REJF20
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- 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.
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