Pages that link to "Item:Q278053"
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The following pages link to Distributional properties of portfolio weights (Q278053):
Displaying 50 items.
- Estimation of the global minimum variance portfolio in high dimensions (Q90168) (← links)
- Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data (Q378919) (← links)
- Linear statistical inference for global and local minimum variance portfolios (Q451456) (← links)
- A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function (Q492800) (← links)
- Comparison of different estimation techniques for portfolio selection (Q636161) (← links)
- On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio (Q732229) (← links)
- Dominating estimators for minimum-variance portfolios (Q737248) (← links)
- A test for the weights of the global minimum variance portfolio in an elliptical model (Q745427) (← links)
- Statistical inference of the efficient frontier for dependent asset returns (Q840988) (← links)
- Singular inverse Wishart distribution and its application to portfolio theory (Q900811) (← links)
- Properties of the singular, inverse and generalized inverse partitioned Wishart distributions (Q957321) (← links)
- Determination and estimation of risk aversion coefficients (Q1616811) (← links)
- How risky is the optimal portfolio which maximizes the Sharpe ratio? (Q1622090) (← links)
- A test for the global minimum variance portfolio for small sample and singular covariance (Q1622106) (← links)
- Recent advances in shrinkage-based high-dimensional inference (Q2062777) (← links)
- Inference on estimators defined by mathematical programming (Q2074590) (← links)
- On the mean and variance of the estimated tangency portfolio weights for small samples (Q2103309) (← links)
- A risk perspective of estimating portfolio weights of the global minimum-variance portfolio (Q2176327) (← links)
- On the market price of risk (Q2230759) (← links)
- How's the performance of the optimized portfolios by safety-first rules: theory with empirical comparisons (Q2244237) (← links)
- Flexible shrinkage in portfolio selection (Q2271631) (← links)
- CUSUM control charts for monitoring optimal portfolio weights (Q2275651) (← links)
- Bayesian inference of the multi-period optimal portfolio for an exponential utility (Q2293380) (← links)
- Optimal portfolio choice: a minimum expected loss approach (Q2299386) (← links)
- Improved estimation of optimal portfolio with an application to the US stock market (Q2301211) (← links)
- On the equivalence of quadratic optimization problems commonly used in portfolio theory (Q2355895) (← links)
- Sequential monitoring of minimum variance portfolio (Q2461273) (← links)
- Theoretical and empirical estimates of mean-variance portfolio sensitivity (Q2514711) (← links)
- An optimal combination of risk-return and naive hedging (Q2517099) (← links)
- A test on the location of the tangency portfolio on the set of feasible portfolios (Q2656730) (← links)
- Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data (Q2682965) (← links)
- On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory (Q2911668) (← links)
- Statistical Inference for High-Dimensional Global Minimum Variance Portfolios (Q2932763) (← links)
- On the exact distribution of the estimated expected utility portfolio weights: Theory and applications (Q3107437) (← links)
- Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests (Q3143705) (← links)
- A Consistent Test for Multivariate Conditional Distributions (Q3168910) (← links)
- Replica approach to mean-variance portfolio optimization (Q3302503) (← links)
- Analytic solution to variance optimization with no short positions (Q3302932) (← links)
- An exact test on structural changes in the weights of the global minimum variance portfolio (Q3395745) (← links)
- EWMA Control Charts for Monitoring Optimal Portfolio Weights (Q3445887) (← links)
- ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS (Q3520338) (← links)
- No-transaction bounds and estimation risk (Q3568906) (← links)
- Exact properties of measures of optimal investment for benchmarked portfolios (Q3568907) (← links)
- SEQUENTIAL SURVEILLANCE OF THE TANGENCY PORTFOLIO WEIGHTS (Q3648636) (← links)
- Portfolio optimization under Expected Shortfall: contour maps of estimation error (Q4554495) (← links)
- Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty (Q4991069) (← links)
- AN IMPROVED TEST OF THE SQUARED SHARPE RATIO (Q5051915) (← links)
- Estimation risk and the implicit value of index-tracking (Q5068090) (← links)
- Mixtures of traces of Wishart and inverse Wishart matrices (Q5079120) (← links)
- Rational explanation for rule-of-thumb practices in asset allocation (Q5120738) (← links)
