A test for the weights of the global minimum variance portfolio in an elliptical model
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DOI: 10.1007/s00184-007-0126-7
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Cited by:
- Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2018.
"Estimation of the global minimum variance portfolio in high dimensions,"
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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, revised Nov 2015.
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- 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.
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- Javed, Farrukh & Mazur, Stepan & Thorsén, Erik, 2021. "Tangency portfolio weights under a skew-normal model in small and large dimensions," Working Papers 2021:13, Örebro University, School of Business.
- Taras Bodnar & Solomiia Dmytriv & Nestor Parolya & Wolfgang Schmid, 2017. "Tests for the weights of the global minimum variance portfolio in a high-dimensional setting," Papers 1710.09587, arXiv.org, revised Jul 2019.
- Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
- Taras Bodnar & Stepan Mazur & Nestor Parolya, 2019.
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- Bodnar, Taras & Mazur, Stepan & Parolya, Nestor, 2017. "Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions," Working Papers 2017:5, Örebro University, School of Business.
- Li, Hua & Bai, Zhi Dong & Wong, Wing Keung, 2015. "High dimensional Global Minimum Variance Portfolio," MPRA Paper 66284, University Library of Munich, Germany.
- Yuanyuan Zhang & Xiang Li & Sini Guo, 2018. "Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature," Fuzzy Optimization and Decision Making, Springer, vol. 17(2), pages 125-158, June.
- Bodnar, Taras & Mazur, Stepan & Ngailo, Edward & Parolya, Nestor, 2017. "Discriminant analysis in small and large dimensions," Working Papers 2017:6, Örebro University, School of Business.
- Mårten Gulliksson & Stepan Mazur, 2020.
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- Gulliksson, Mårten & Mazur, Stepan, 2019. "An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection," Working Papers 2019:3, Örebro University, School of Business.
- Bodnar Taras & Schmid Wolfgang, 2011. "On the exact distribution of the estimated expected utility portfolio weights: Theory and applications," Statistics & Risk Modeling, De Gruyter, vol. 28(4), pages 319-342, December.
- Bodnar, Taras & Mazur, Stepan & Podgórski, Krzysztof, 2016. "Singular inverse Wishart distribution and its application to portfolio theory," Journal of Multivariate Analysis, Elsevier, vol. 143(C), pages 314-326.
- Jens Stange & Taras Bodnar & Thorsten Dickhaus, 2015. "Uncertainty quantification for the family-wise error rate in multivariate copula models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(3), pages 281-310, July.
- Bodnar Taras & Schmid Wolfgang, 2009. "Estimation of optimal portfolio compositions for Gaussian returns," Statistics & Risk Modeling, De Gruyter, vol. 26(3), pages 179-201, April.
- Taras Bodnar & Solomiia Dmytriv & Yarema Okhrin & Nestor Parolya & Wolfgang Schmid, 2020. "Statistical inference for the EU portfolio in high dimensions," Papers 2005.04761, arXiv.org.
- Golosnoy, Vasyl & Schmid, Wolfgang & Seifert, Miriam Isabel & Lazariv, Taras, 2020. "Statistical inferences for realized portfolio weights," Econometrics and Statistics, Elsevier, vol. 14(C), pages 49-62.
- Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema, 2017. "Bayesian estimation of the global minimum variance portfolio," European Journal of Operational Research, Elsevier, vol. 256(1), pages 292-307.
- Taras Bodnar & Stepan Mazur & Krzysztof Podgórski, 2017. "A test for the global minimum variance portfolio for small sample and singular covariance," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 101(3), pages 253-265, July.
- 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.
- Bodnar, Olha & Bodnar, Taras & Parolya, Nestor, 2022. "Recent advances in shrinkage-based high-dimensional inference," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
- Konstantinos Bisiotis & Stelios Psarakis & Athanasios N. Yannacopoulos, 2022. "Affine Term Structure Models: Applications in Portfolio Optimization and Change Point Detection," Mathematics, MDPI, vol. 10(21), pages 1-33, November.
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Keywords
Portfolio analysis; Global minimum variance portfolio; Elliptically contoured distribution; General linear hypothesis;All these keywords.
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