An exact test on structural changes in the weights of the global minimum variance portfolio (Q3395745)
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scientific article; zbMATH DE number 5603443
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| English | An exact test on structural changes in the weights of the global minimum variance portfolio |
scientific article; zbMATH DE number 5603443 |
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An exact test on structural changes in the weights of the global minimum variance portfolio (English)
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13 September 2009
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asset pricing
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mean-variance analysis
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optimal portfolio weights
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multivariate test
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parameter uncertainty
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exact distribution
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0.95027196
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0.92481303
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0.9037434
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0.8844422
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0.8682185
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0.8612817
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0.8582903
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