Statistical inference procedure for the mean-variance efficient frontier with estimated parameters

DOI10.1007/S10182-009-0109-2MaRDI QIDQ5963003zbMATH OpenOpenAlexFDO

Authors Olha Bodnar, Taras Bodnar

Publication date 25 February 2016

Published in AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10182-009-0109-2

zbMATH Keywords

efficient frontierexact distributionmean-variance analysismultivariate testparameter uncertainty

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A Test of the Efficiency of a Given Portfolio
• Distributional properties of portfolio weights
• Estimation for Markowitz Efficient Portfolios
• Estimation of optimal portfolio compositions for Gaussian returns
• Finite Sample Properties of Estimators for the Optimal Portfolio Weight

Cited in

(7)

• A comparison of mean-variance efficiency tests
• A test on the location of the tangency portfolio on the set of feasible portfolios
• Construction and inferences of the efficient frontier in elliptical models
• Identification-robust estimation and testing of the zero-beta CAPM
• Some critical insights on the unbiased efficient frontier à la Bodnar \& Bodnar
• Bayesian estimation of the efficient frontier
• Statistical inference of the efficient frontier for dependent asset returns

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