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Statistical inference of the efficient frontier for dependent asset returns

Author

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  • Taras Bodnar

    ()

  • Wolfgang Schmid

    ()

  • Taras Zabolotskyy

    ()

Abstract

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Suggested Citation

  • Taras Bodnar & Wolfgang Schmid & Taras Zabolotskyy, 2009. "Statistical inference of the efficient frontier for dependent asset returns," Statistical Papers, Springer, vol. 50(3), pages 593-604, June.
  • Handle: RePEc:spr:stpapr:v:50:y:2009:i:3:p:593-604
    DOI: 10.1007/s00362-007-0108-x
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    File URL: http://hdl.handle.net/10.1007/s00362-007-0108-x
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    References listed on IDEAS

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    1. MacKinlay, A Craig & Pastor, Lubos, 2000. "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," Review of Financial Studies, Society for Financial Studies, vol. 13(4), pages 883-916.
    2. Stambaugh, Robert F., 1997. "Analyzing investments whose histories differ in length," Journal of Financial Economics, Elsevier, vol. 45(3), pages 285-331, September.
    3. John H. Cochrane, 1999. "Portfolio advice of a multifactor world," Economic Perspectives, Federal Reserve Bank of Chicago, issue qiii, pages 59-78.
    4. Yarema Okhrin & Wolfgang Schmid, 2007. "Comparison of different estimation techniques for portfolio selection," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 91(2), pages 109-127, August.
    5. Mech, Timothy S., 1993. "Portfolio return autocorrelation," Journal of Financial Economics, Elsevier, vol. 34(3), pages 307-344, December.
    6. Okhrin, Yarema & Schmid, Wolfgang, 2006. "Distributional properties of portfolio weights," Journal of Econometrics, Elsevier, vol. 134(1), pages 235-256, September.
    7. Conrad, Jennifer & Kaul, Gautam, 1988. "Time-Variation in Expected Returns," The Journal of Business, University of Chicago Press, vol. 61(4), pages 409-425, October.
    8. 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.
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    Cited by:

    1. Taras Bodnar & Taras Zabolotskyy, 2017. "How risky is the optimal portfolio which maximizes the Sharpe ratio?," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 101(1), pages 1-28, January.

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