On the application of new tests for structural changes on global minimum-variance portfolios
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Publication:379943
DOI10.1007/S00362-013-0511-4zbMATH Open1294.62239OpenAlexW1969524153MaRDI QIDQ379943FDOQ379943
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
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cites Work
- Break detection in the covariance structure of multivariate time series models
- Monitoring Structural Change
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- Testing for a change in correlation at an unknown point in time using an extended functional delta method
- A new test for structural stability in the linear regression model
- Monitoring correlation change in a sequence of random variables
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Risk neutral and risk averse power optimization in electricity networks with dispersed generation
- A new fluctuation test for constant variances with applications to finance
- CUSUM control charts for monitoring optimal portfolio weights
- Mean-variance portfolios using Bayesian vector-autoregressive forcasts
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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