Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models

DOI10.1080/02331880902760603MaRDI QIDQ5400826zbMATH OpenOpenAlexFDO

Authors Taras Bodnar, T. Zabolotskyy

Publication date 12 March 2014

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331880902760603

zbMATH Keywords

asymptotic normalityasset allocationelliptical distributionoptimal portfoliosmean-variance efficient frontiermultivariate GARCH process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 45785 (Why is no real title available?)
• scientific article; zbMATH DE number 1261669 (Why is no real title available?)
• scientific article; zbMATH DE number 1077338 (Why is no real title available?)
• A characterization of the distributions that imply mean-variance utility functions
• A test for the weights of the global minimum variance portfolio in an elliptical model
• A well-conditioned estimator for large-dimensional covariance matrices
• Distributional properties of portfolio weights
• Estimation for Markowitz Efficient Portfolios
• On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio
• The distribution of the sample minimum-variance frontier
• Time series: theory and methods.

Cited in

(7)

• Testing multivariate scatter parameter in elliptical model based on forward search method
• Elliptical regression models for multivariate sample-selection bias correction
• The distribution of the sample variance of the global minimum variance portfolio in elliptical models
• Construction and inferences of the efficient frontier in elliptical models
• Statistical inference of multivariate distribution parameters for non-Gaussian distributed time series
• The distribution of the sample minimum-variance frontier
• Statistical inference of the efficient frontier for dependent asset returns

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