On the application of new tests for structural changes on global minimum-variance portfolios

DOI10.1007/S00362-013-0511-4MaRDI QIDQ379943zbMATH OpenOpenAlexFDO

Authors Dominik Wied, Daniel Ziggel, Tobias Berens

Publication date 11 November 2013

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-013-0511-4

zbMATH Keywords

structural breakportfolio optimizationfluctuation testMarkowitz

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 3766903 (Why is no real title available?)
• A new fluctuation test for constant variances with applications to finance
• A new test for structural stability in the linear regression model
• Break detection in the covariance structure of multivariate time series models
• CUSUM control charts for monitoring optimal portfolio weights
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Mean-variance portfolios using Bayesian vector-autoregressive forcasts
• Monitoring Structural Change
• Monitoring correlation change in a sequence of random variables
• Risk neutral and risk averse power optimization in electricity networks with dispersed generation
• Testing for a change in correlation at an unknown point in time using an extended functional delta method

Cited in

(8)

• A test for the global minimum variance portfolio for small sample and singular covariance
• Detecting Changes in Covariance via Random Matrix Theory
• An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios
• Portfolio selection between a mature market and selected emerging markets indices in the presence of structural breaks
• Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
• Portfolio selection: shrinking the time-varying inverse conditional covariance matrix
• A self-normalization break test for correlation matrix
• An exact test on structural changes in the weights of the global minimum variance portfolio

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