Pages that link to "Item:Q3117730"

The following pages link to The Distribution of the Sample Minimum-Variance Frontier (Q3117730):

Displaying 20 items.

• Value of information in portfolio selection, with a Taiwan stock market application illustration (Q323188) (← links)
• High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation (Q620558) (← links)
• Properties of the singular, inverse and generalized inverse partitioned Wishart distributions (Q957321) (← links)
• Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (Q1623568) (← links)
• Comparing large-sample maximum Sharpe ratios and incremental variable testing (Q1681279) (← links)
• Quantitative portfolio selection: using density forecasting to find consistent portfolios (Q2028791) (← links)
• Recent advances in shrinkage-based high-dimensional inference (Q2062777) (← links)
• Inference on estimators defined by mathematical programming (Q2074590) (← links)
• Bayesian portfolio selection using VaR and CVaR (Q2141202) (← links)
• On the market price of risk (Q2230759) (← links)
• The large-sample distribution of the maximum Sharpe ratio with and without short sales (Q2630355) (← links)
• ON THE UNBIASED ESTIMATOR OF THE EFFICIENT FRONTIER (Q3067764) (← links)
• Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests (Q3143705) (← links)
• SEQUENTIAL SURVEILLANCE OF THE TANGENCY PORTFOLIO WEIGHTS (Q3648636) (← 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)
• Positive Weights on the Efficient Frontier (Q5379129) (← links)
• Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models (Q5400826) (← links)
• Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions (Q6063734) (← links)