On the application of new tests for structural changes on global minimum-variance portfolios

DOI10.1007/s00362-013-0511-4zbMath1294.62239OpenAlexW1969524153MaRDI QIDQ379943

Daniel Ziggel, Tobias Berens, Dominik Wied

Publication date: 11 November 2013

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-013-0511-4

zbMATH Keywords

portfolio optimizationstructural breakfluctuation testMarkowitz

Mathematics Subject Classification ID

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

Related Items (2)

Portfolio selection: shrinking the time-varying inverse conditional covariance matrix ⋮ A self-normalization break test for correlation matrix

Cites Work

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• TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Monitoring Structural Change

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