Statistical inference of the efficient frontier for dependent asset returns

DOI10.1007/s00362-007-0108-xzbMath1312.91092OpenAlexW2052898534MaRDI QIDQ840988

Taras Zabolotskyy, Wolfgang Schmid, Taras Bodnar

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

zbMATH Keywords

asymptotic normalityasset allocationoptimal portfoliosmean-variance efficient frontier

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (2)

How risky is the optimal portfolio which maximizes the Sharpe ratio? ⋮ 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

Cites Work

• Distributional properties of portfolio weights
• Comparison of different estimation techniques for portfolio selection
• On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio
• An econometric analysis of nonsynchronous trading
• Estimation for Markowitz Efficient Portfolios
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Elements of multivariate time series analysis.
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