The distribution of the sample variance of the global minimum variance portfolio in elliptical models

DOI10.1080/10485250601033255zbMath1183.91163MaRDI QIDQ5429698

Wolfgang Schmid, Taras Bodnar

Publication date: 3 December 2007

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485250601033255

zbMATH Keywords

stochastic representation; global minimum variance portfolio; asset allocation; matrix variate elliptically contoured distributions

Mathematics Subject Classification ID

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

62J10: Analysis of variance and covariance (ANOVA)

91G10: Portfolio theory

Related Items

A test for the weights of the global minimum variance portfolio in an elliptical model, A test for the global minimum variance portfolio for small sample and singular covariance

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