Econometrical analysis of the sample efficient frontier
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References listed on IDEAS
- John H. Cochrane, 1999.
"Portfolio advice of a multifactor world,"
Federal Reserve Bank of Chicago, issue Q III, pages 59-78.
- John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," NBER Working Papers 7170, National Bureau of Economic Research, Inc.
- John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," CRSP working papers 491, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
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- repec:eee:ejores:v:266:y:2018:i:1:p:371-390 is not listed on IDEAS
- Taras Bodnar & Yarema Okhrin & Nestor Parolya, 2016. "Optimal shrinkage-based portfolio selection in high dimensions," Papers 1611.01958, arXiv.org, revised May 2017.
- Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2018.
"Estimation of the global minimum variance portfolio in high dimensions,"
European Journal of Operational Research,
Elsevier, vol. 266(1), pages 371-390.
- 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.
- Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2013.
"On the equivalence of quadratic optimization problems commonly used in portfolio theory,"
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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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- David Bauder & Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2018. "Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty," Papers 1803.03573, arXiv.org.
- Bodnar Taras & Schmid Wolfgang & Zabolotskyy Tara, 2012. "Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests," Statistics & Risk Modeling, De Gruyter, vol. 29(4), pages 281-314, November.
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More about this item
Keywordsasset allocation; efficient frontier; portfolio analysis; mean-variance portfolio; parameter uncertainty; interval estimation;
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