The distribution of the sample variance of the global minimum variance portfolio in elliptical models (Q5429698)
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scientific article; zbMATH DE number 5217248
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| English | The distribution of the sample variance of the global minimum variance portfolio in elliptical models |
scientific article; zbMATH DE number 5217248 |
Statements
The distribution of the sample variance of the global minimum variance portfolio in elliptical models (English)
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3 December 2007
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global minimum variance portfolio
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asset allocation
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matrix variate elliptically contoured distributions
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stochastic representation
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0.8929688334465027
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0.8036630749702454
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0.7924412488937378
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0.7863088250160217
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0.785267174243927
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