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

DOI10.1007/s00362-013-0511-4zbMath1294.62239MaRDI QIDQ379943

Daniel Ziggel, Tobias Berens, Dominik Wied

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

portfolio optimization; structural break; fluctuation test; Markowitz

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G10: Portfolio theory

Related Items

Portfolio selection: shrinking the time-varying inverse conditional covariance matrix, A self-normalization break test for correlation matrix

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