Pages that link to "Item:Q378919"
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The following pages link to Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data (Q378919):
Displaying 13 items.
- Statistically efficient construction of \(a\)-risk-minimizing portfolio (Q444218) (← links)
- Optimal portfolios with end-of-period target (Q764803) (← links)
- Singular inverse Wishart distribution and its application to portfolio theory (Q900811) (← links)
- How risky is the optimal portfolio which maximizes the Sharpe ratio? (Q1622090) (← links)
- Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences (Q2306884) (← links)
- Asymptotic behavior of Mean-CVaR portfolio selection model under nonparametric framework (Q2408890) (← links)
- On the exact distribution of the estimated expected utility portfolio weights: Theory and applications (Q3107437) (← links)
- Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests (Q3143705) (← links)
- Nonparametric kernel estimation of expected shortfall under negatively associated sequences (Q5077216) (← links)
- On some inequalities for <i>ψ</i>-mixing sequences and its applications in conditional value-at-risk estimate (Q5078037) (← links)
- Interval Estimation for the Sortino Ratio and the Omega Ratio (Q5418878) (← links)
- Higher order moments of the estimated tangency portfolio weights (Q5861531) (← links)
- Sample and realized minimum variance portfolios: estimation, statistical inference, and tests (Q6602369) (← links)
