Linear statistical inference for global and local minimum variance portfolios
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Volume (Year): 51 (2010)
Issue (Month): 4 (December)
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- 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.
- 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.
- Ravi Jagannathan & Tongshu Ma, 2002.
"Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps,"
NBER Working Papers
8922, National Bureau of Economic Research, Inc.
- 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.
- Frahm, Gabriel, 2007. "Testing for the best alternative with an application to performance measurement," Discussion Papers in Econometrics and Statistics 7/07, University of Cologne, Institute of Econometrics and Statistics.
- 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.
- Green, Richard C & Hollifield, Burton, 1992. " When Will Mean-Variance Efficient Portfolios Be Well Diversified?," Journal of Finance, American Finance Association, vol. 47(5), pages 1785-809, December.
- Grauer, Robert R. & Shen, Frederick C., 2000. "Do constraints improve portfolio performance?," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1253-1274, August.
- Okhrin, Yarema & Schmid, Wolfgang, 2006. "Distributional properties of portfolio weights," Journal of Econometrics, Elsevier, vol. 134(1), pages 235-256, September.
- 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.
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