An exact test on structural changes in the weights of the global minimum variance portfolio

DOI10.1080/14697680802446748zbMath1169.91364OpenAlexW2114360682MaRDI QIDQ3395745

Taras Bodnar

Publication date: 13 September 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680802446748

zbMATH Keywords

asset pricingparameter uncertaintymean-variance analysisexact distributionmultivariate testoptimal portfolio weights

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (1)

Reverse stress testing in skew-elliptical models

Cites Work

• Distributional properties of portfolio weights
• A test for the weights of the global minimum variance portfolio in an elliptical model

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