An exact test on structural changes in the weights of the global minimum variance portfolio

DOI10.1080/14697680802446748MaRDI QIDQ3395745zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

mean-variance analysisparameter uncertaintyasset pricingexact distributionoptimal portfolio weightsmultivariate test

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Recommendations

• On the application of new tests for structural changes on global minimum-variance portfolios
• Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting
• A test for the weights of the global minimum variance portfolio in an elliptical model
• A test for the global minimum variance portfolio for small sample and singular covariance
• A risk perspective of estimating portfolio weights of the global minimum-variance portfolio
• Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests
• Estimation of the global minimum variance portfolio in high dimensions
• The distribution of the sample variance of the global minimum variance portfolio in elliptical models
• scientific article; zbMATH DE number 2219469
• Bayesian estimation of the global minimum variance portfolio

Cites work

• A test for the weights of the global minimum variance portfolio in an elliptical model
• Distributional properties of portfolio weights

Cited in

(4)

• A test for the weights of the global minimum variance portfolio in an elliptical model
• A test for the global minimum variance portfolio for small sample and singular covariance
• On the application of new tests for structural changes on global minimum-variance portfolios
• Reverse stress testing in skew-elliptical models

This page was built for publication: An exact test on structural changes in the weights of the global minimum variance portfolio

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3395745)