scientific article; zbMATH DE number 2219469

MaRDI QIDQ5698207zbMATH OpenFDO

Authors Nyongesa L. Kennedy, Yunmin Zhu

Publication date 27 October 2005

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)

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

Cited in

(6)

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

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