The regression-based efficient frontier

DOI10.1016/J.RINAM.2025.100578MaRDI QIDQ6959647zbMATH OpenFDO

Authors Wan-Yi Chiu

Publication date 15 July 2025

Published in Results in Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.RINAM.2025.100578

zbMATH Keywords

efficient frontierefficient set constantsmean-variancemean-variance efficiency testregression-based efficient frontier

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites work

• A Test of the Efficiency of a Given Portfolio
• scientific article; zbMATH DE number 3551729 (Why is no real title available?)
• Safety-first portfolio selection
• The econometrics of mean‐variance efficiency tests: a survey

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