A test for the weights of the global minimum variance portfolio in an elliptical model

DOI10.1007/s00184-007-0126-7zbMath1433.91150OpenAlexW2089178963MaRDI QIDQ745427

Wolfgang Schmid, Taras Bodnar

Publication date: 14 October 2015

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-007-0126-7

zbMATH Keywords

elliptically contoured distributionportfolio analysisglobal minimum variance portfoliogeneral linear hypothesis

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Non-Markovian processes: hypothesis testing (62M07) Portfolio theory (91G10)

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