T. Zabolotskyy

Available identifiers

Publication	Date of Publication	Type
How risky is the optimal portfolio which maximizes the Sharpe ratio?	2018-11-12	Paper
Determination and estimation of risk aversion coefficients	2018-11-07	Paper
Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models	2014-03-12	Paper
Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data	2013-11-12	Paper
Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests	2012-12-03	Paper
Estimation and inference of the vector autoregressive process under heteroscedasticity	2012-06-11	Paper
On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio	2009-10-09	Paper
Statistical inference of the efficient frontier for dependent asset returns	2009-09-14	Paper
Asymptotic behavior of the countable dimensional renewal function	2008-11-24	Paper

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