The distribution of the sample minimum-variance frontier

DOI10.1287/MNSC.1070.0852MaRDI QIDQ3117730zbMATH OpenOpenAlexFDO

Authors Raymond Kan, Daniel R. Smith

Publication date 29 February 2012

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/13615dc30d3d706a8214172158bc8074a28295fd

zbMATH Keywords

efficiency setfinite sample distribution

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cited in

(35)

• Solving norm constrained portfolio optimization via coordinate-wise descent algorithms
• Comparing large-sample maximum Sharpe ratios and incremental variable testing
• A note on the kinks at the mean variance frontier
• Quantitative portfolio selection: using density forecasting to find consistent portfolios
• Recent advances in shrinkage-based high-dimensional inference
• Inference on estimators defined by mathematical programming
• Bayesian portfolio selection using VaR and CVaR
• On the market price of risk
• The large-sample distribution of the maximum Sharpe ratio with and without short sales
• ON THE UNBIASED ESTIMATOR OF THE EFFICIENT FRONTIER
• Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests
• Value of information in portfolio selection, with a Taiwan stock market application illustration
• SEQUENTIAL SURVEILLANCE OF THE TANGENCY PORTFOLIO WEIGHTS
• The Principle of Minimum Differentiation Holds under Sufficient Heterogeneity
• Some critical insights on the unbiased efficient frontier à la Bodnar \& Bodnar
• Bayesian mean-variance analysis: optimal portfolio selection under parameter uncertainty
• AN IMPROVED TEST OF THE SQUARED SHARPE RATIO
• Estimation risk and the implicit value of index-tracking
• The dispersion bias
• The sampling errors in estimating the tracking error frontier
• Positive weights on the efficient frontier
• Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models
• The distribution of the sample variance of the global minimum variance portfolio in elliptical models
• Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
• A theoretical generalization of the Markowitz model incorporating skewness and kurtosis
• Supervised portfolios
• High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
• The distribution of sample mean-variance portfolio weights
• On the Combination of Naive and Mean-Variance Portfolio Strategies
• Constrained mix sparse optimization via hard thresholding pursuit
• Optimal portfolio selection using quantile and composite quantile regression models
• Integrating multiple sources of ordinal information in portfolio optimization
• A test on the location of tangency portfolio for small sample size and singular covariance matrix
• Numerical stability of optimal mean variance portfolios
• Properties of the singular, inverse and generalized inverse partitioned Wishart distributions

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