scientific article; zbMATH DE number 2219469

zbMATH Open1073.62092MaRDI QIDQ5698207FDOQ5698207

Authors: Nyongesa L. Kennedy, Yunmin Zhu 

Publication date: 27 October 2005

Title of this publication is not available (Why is that?)

Recommendations

• A risk perspective of estimating portfolio weights of the global minimum-variance portfolio
• Distributional properties of portfolio weights
• A closer look at the minimum-variance portfolio optimization model
• Diversified minimum-variance portfolios
• Linear statistical inference for global and local minimum variance portfolios

zbMATH Keywords

expected returns

Mathematics Subject Classification ID

Quadratic programming (90C20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Cited In (6)

• A risk perspective of estimating portfolio weights of the global minimum-variance portfolio
• Portfolio selection with conditional covariance matrix and nonlinear programming
• Sequential monitoring of minimum variance portfolio
• An exact test on structural changes in the weights of the global minimum variance portfolio
• Large-scale minimum variance portfolio allocation using double regularization
• A generalized pivotal quantity approach to portfolio selection

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