Sample and realized minimum variance portfolios: Estimation, statistical inference, and tests
Author:
Affiliation:
1. Faculty of Management and Economics Ruhr‐Universität Bochum Bochum Germany
2. Institute of Econometrics and Statistics Universität zu Köln Köln Germany
Publisher
Wiley
Subject
Statistics and Probability
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/wics.1556
Reference81 articles.
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4. Bayesian estimation of the efficient frontier;Bauder D.;Scandinavian Journal of Statistics,2019
5. A dynamic component model for forecasting high‐dimensional realized covariance matrices;Bauwens L.;Econometrics and Statistics,2017
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