An exact test on structural changes in the weights of the global minimum variance portfolio
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Publication:3395745
DOI10.1080/14697680802446748zbMATH Open1169.91364OpenAlexW2114360682MaRDI QIDQ3395745FDOQ3395745
Authors: Taras Bodnar 
Publication date: 13 September 2009
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680802446748
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Cites Work
Cited In (4)
- A test for the global minimum variance portfolio for small sample and singular covariance
- Reverse stress testing in skew-elliptical models
- A test for the weights of the global minimum variance portfolio in an elliptical model
- On the application of new tests for structural changes on global minimum-variance portfolios
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