On the application of new tests for structural changes on global minimum-variance portfolios (Q379943): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
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@@ Property / zbMATH DE Number @@
+6224847
@@ Property / zbMATH DE Number: 6224847 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+fluctuation test
@@ Property / zbMATH Keywords: fluctuation test / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Markowitz
@@ Property / zbMATH Keywords: Markowitz / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+portfolio optimization
@@ Property / zbMATH Keywords: portfolio optimization / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+structural break
@@ Property / zbMATH Keywords: structural break / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00362-013-0511-4
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@@ Property / OpenAlex ID @@
+W1969524153
@@ Property / OpenAlex ID: W1969524153 / rank @@
+Normal rank
@@ Property / cites work @@
+Break detection in the covariance structure of multivariate time series models
+Normal rank
@@ Property / cites work @@
+Monitoring Structural Change
@@ Property / cites work: Monitoring Structural Change / rank @@
+Normal rank
@@ Property / cites work @@
+Monitoring correlation change in a sequence of random variables
+Normal rank
@@ Property / cites work @@
+Mean-variance portfolios using Bayesian vector-autoregressive forcasts
+Normal rank
@@ Property / cites work @@
+CUSUM control charts for monitoring optimal portfolio weights
+Normal rank
@@ Property / cites work @@
+Risk neutral and risk averse power optimization in electricity networks with dispersed generation
+Normal rank
@@ Property / cites work @@
+A new test for structural stability in the linear regression model
+Normal rank
@@ Property / cites work @@
+Q3948492
@@ Property / cites work: Q3948492 / rank @@
+Normal rank
@@ Property / cites work @@
+A new fluctuation test for constant variances with applications to finance
+Normal rank
@@ Property / cites work @@
+TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:379943