Some Critical Insights on the Unbiased Efficient Frontier à la Bodnar&Bodnar

DOI10.1007/978-3-319-89824-7_44zbMath1397.62120OpenAlexW2883811483MaRDI QIDQ4689050

Marco Corazza, Claudio E. A. Pizzi

Publication date: 12 October 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-89824-7_44

zbMATH Keywords

efficient frontierunbiased estimatorbootstrap estimatorasymptotic and strange behaviors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bootstrap, jackknife and other resampling methods (62F40)

Cites Work

• Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy. With a comment by J. A. Hartigan and a rejoinder by the authors
• ON THE UNBIASED ESTIMATOR OF THE EFFICIENT FRONTIER
• The Stationary Bootstrap
• Statistical inference procedure for the mean-variance efficient frontier with estimated parameters