The distribution of the sample variance of the global minimum variance portfolio in elliptical models-Reference-Cited by-同舟云学术

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

Published:2007-02 Issue:1 Volume:41 Page:65-75
ISSN:0233-1888
Container-title:Statistics
language:en
Short-container-title:Statistics

Author:

Bodnar Taras,Schmid Wolfgang

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://www.tandfonline.com/doi/pdf/10.1080/10485250601033255

Reference23 articles.

1. Portfolio Selection

2. The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments

3. Aspects of Multivariate Statistical Theory

4. Brownian Motion in the Stock Market

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