The distribution of the sample variance of the global minimum variance portfolio in elliptical models

DOI10.1080/10485250601033255zbMath1183.91163OpenAlexW2064518236MaRDI QIDQ5429698

Wolfgang Schmid, Taras Bodnar

Publication date: 3 December 2007

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485250601033255

zbMATH Keywords

stochastic representationglobal minimum variance portfolioasset allocationmatrix variate elliptically contoured distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Analysis of variance and covariance (ANOVA) (62J10) Portfolio theory (91G10)

Related Items (2)

A test for the global minimum variance portfolio for small sample and singular covariance ⋮ A test for the weights of the global minimum variance portfolio in an elliptical model

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Testing multivariate symmetry
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
• Modeling asset returns with alternative stable distributions^*
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
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