Construction and Inferences of the Efficient Frontier in Elliptical Models

DOI10.14490/JJSS.39.193zbMath1248.91091OpenAlexW2133331330MaRDI QIDQ2919540

Taras Bodnar, Arjun K. Gupta

Publication date: 4 October 2012

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jjss&kijiCd=39_2_193&screenID=AF06S010&noVol=39&noIssue=2

zbMATH Keywords

parameter uncertaintyinterval estimationefficient frontiermean-variance portfoliomatrix variate elliptically contoured distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07) Portfolio theory (91G10)

Related Items (3)

Determination and estimation of risk aversion coefficients ⋮ Quantile-based optimal portfolio selection ⋮ Multivariate elliptically contoured autoregressive process

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