On the application of new tests for structural changes on global minimum-variance portfolios (Q379943)
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scientific article; zbMATH DE number 6224847
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| English | On the application of new tests for structural changes on global minimum-variance portfolios |
scientific article; zbMATH DE number 6224847 |
Statements
On the application of new tests for structural changes on global minimum-variance portfolios (English)
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11 November 2013
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fluctuation test
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Markowitz
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portfolio optimization
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structural break
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0.8652788400650024
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0.7878824472427368
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0.7818478941917419
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0.7681869864463806
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0.7633829712867737
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