Statistical properties of a two dimensional optimal portfolio

MaRDI QIDQ5433321zbMATH OpenFDO

Authors T. D. Bodnar

Publication date 8 January 2008

zbMATH Keywords

estimate of optimal weightsmatrix of securities returns

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Macroeconomic theory (monetary models, models of taxation) (91B64)

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Cited in

(3)

• STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS
• Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
• Statistical portfolio estimation under the utility function depending on exogenous variables

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