Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models

DOI10.1080/02331880902760603zbMath1291.91242OpenAlexW2081630796MaRDI QIDQ5400826

Taras Zabolotskyy, Taras Bodnar

Publication date: 12 March 2014

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880902760603

zbMATH Keywords

asymptotic normalityelliptical distributionasset allocationoptimal portfoliosmean-variance efficient frontiermultivariate GARCH process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A well-conditioned estimator for large-dimensional covariance matrices
• Distributional properties of portfolio weights
• On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio
• A test for the weights of the global minimum variance portfolio in an elliptical model
• A characterization of the distributions that imply mean-variance utility functions
• Time series: theory and methods.
• The Distribution of the Sample Minimum-Variance Frontier
• Estimation for Markowitz Efficient Portfolios

This page was built for publication: Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models