A test for the global minimum variance portfolio for small sample and singular covariance-Reference-Cited by-同舟云学术

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A test for the global minimum variance portfolio for small sample and singular covariance

Published:2016-11-17 Issue:3 Volume:101 Page:253-265
ISSN:1863-8171
Container-title:AStA Advances in Statistical Analysis
language:en
Short-container-title:AStA Adv Stat Anal

Author:

Bodnar Taras,Mazur Stepan,Podgórski Krzysztof

Funder

Deutsche Forschungsgemeinschaft

Villum Fonden

Riksbankens Jubileumsfond Grant

Swedish Research Council

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Modelling and Simulation,Statistics and Probability,Analysis

Link

http://link.springer.com/article/10.1007/s10182-016-0282-z/fulltext.html

Reference28 articles.

1. Abramowitz, M., Stegun, I.A.: Pocketbook of Mathematical Functions. Verlag Harri Deutsch, Frankfurt (Main) (1984)

2. Berk, J.B.: Necessary conditions for the CAPM. J. Econ. Theory. 73, 245–257 (1997)

3. Best, M.J., Grauer, R.R.: On the sensitivity of mean-variance-effecient portfolios to changes in asset means: some analytical and computational results. Rev. Financ. Stud. 4, 315–342 (1991)

4. Bodnar, T., Mazur, S., Podgórski, K.: Singular inverse Wishart distribution and its application to portfolio theory. J. Multivariate Anal. 143, 314–326 (2016)

5. Bodnar, T., Schmid, W.: The distribution of the sample variance of the global minimum variance portfolio in elliptical models. Statistics 44, 65–75 (2007)

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