A generalized pivotal quantity approach to portfolio selection

DOI10.1080/02664763.2016.1214241OpenAlexW2501530108MaRDI QIDQ5138630

Thomas Mathew, Yuan-Yuan Zhu, Philip L. H. Yu

Publication date: 4 December 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2016.1214241

zbMATH Keywords

portfolio selectiongeneralized pivotal quantitygeneralized confidence intervals

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Distributional properties of portfolio weights
• Enclosing \(k\) points in the smallest axis parallel rectangle
• Simultaneous confidence intervals based on the percentile bootstrap approach
• Inferences on correlation coefficients: one-sample, independent and correlated cases
• Statistical Inference for High-Dimensional Global Minimum Variance Portfolios
• Inferences on the Common Mean of Several Normal Populations Based on the Generalized Variable Method
• Generalized Confidence Intervals
• Estimation for Markowitz Efficient Portfolios
• The structural Sharpe model undert-distributions
• Generalized confidence interval estimation for the mean of delta-lognormal distribution: an application to New Zealand trawl survey data
• Fiducial Generalized Confidence Intervals

This page was built for publication: A generalized pivotal quantity approach to portfolio selection