A test for the weights of the global minimum variance portfolio in an elliptical model-Reference-Cited by-同舟云学术

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

Published:2007-02-13 Issue:2 Volume:67 Page:127-143
ISSN:0026-1335
Container-title:Metrika
language:en
Short-container-title:Metrika

Author:

Bodnar Taras,Schmid Wolfgang

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s00184-007-0126-7.pdf

Reference53 articles.

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3. Andersen TG, Bollerslev T, Diebold FX (2005) Parametric and nonparametric measurements of volatility. In: Aït-Sahalia Y, Hansen LP (eds) Handbook of financial econometrics. North-Holland, Amsterdam

4. Barberis N (1999) Investing for the long run when returns are predictable. J Finance 55:225–264

5. Baringhaus L (1991) Testing for spherical symmetry of a multivariate distributions. Ann Stat 19:899–917

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