The distribution of the sample variance of the global minimum variance portfolio in elliptical models
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Publication:5429698
DOI10.1080/10485250601033255zbMath1183.91163MaRDI QIDQ5429698
Publication date: 3 December 2007
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10485250601033255
stochastic representation; global minimum variance portfolio; asset allocation; matrix variate elliptically contoured distributions
62P05: Applications of statistics to actuarial sciences and financial mathematics
62J10: Analysis of variance and covariance (ANOVA)
91G10: Portfolio theory
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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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