Statistical inference of the efficient frontier for dependent asset returns
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Publication:840988
DOI10.1007/S00362-007-0108-XzbMATH Open1312.91092OpenAlexW2052898534MaRDI QIDQ840988FDOQ840988
Authors: Taras Bodnar, Wolfgang Schmid, T. Zabolotskyy 
Publication date: 14 September 2009
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-007-0108-x
Recommendations
- Statistical estimation of optimal portfolios for Gaussian dependent returns of assets
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
Cites Work
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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- Elements of multivariate time series analysis.
- Distributional properties of portfolio weights
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- Estimation for Markowitz Efficient Portfolios
- An econometric analysis of nonsynchronous trading
- On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio
- Comparison of different estimation techniques for portfolio selection
Cited In (8)
- Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models
- How risky is the optimal portfolio which maximizes the Sharpe ratio?
- Bayesian estimation of the efficient frontier
- Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood
- Statistical inference of multivariate distribution parameters for non-Gaussian distributed time series
- Statistical estimation of optimal portfolios for Gaussian dependent returns of assets
- Statistical inference procedure for the mean-variance efficient frontier with estimated parameters
- Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data
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