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On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio

Schmid, Wolfgang; Zabolotskyy, Taras - In: Advances in statistical analysis : AStA ; a journal of … 92 (2008) 1, pp. 29-34

Persistent link: https://www.econbiz.de/10003649991

Statistical inference of the efficient frontier for dependent asset returns

Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Taras - In: Statistical papers 50 (2009) 3, pp. 593-604

Persistent link: https://www.econbiz.de/10003844054

On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio

Schmid, Wolfgang; Zabolotskyy, Taras - In: Wirtschafts- und sozialstatistisches Archiv : ASTA ; … 92 (2008) 1, pp. 29-34

Persistent link: https://www.econbiz.de/10008352327

On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio

Schmid, Wolfgang; Zabolotskyy, Taras - In: AStA Advances in Statistical Analysis 92 (2008) 1, pp. 29-34

Persistent link: https://www.econbiz.de/10005598110

Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data

Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Taras - In: Metrika 76 (2013) 8, pp. 1105-1134

In this paper we derive the asymptotic distributions of the estimated weights and of estimated performance measures of the minimum value-at-risk portfolio and of the minimum conditional value-at-risk portfolio assuming that the asset returns follow a strictly stationary process. It is proved...

Persistent link: https://www.econbiz.de/10010896496

Statistical inference of the efficient frontier for dependent asset returns

Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Taras - In: Statistical Papers 50 (2009) 3, pp. 593-604

Persistent link: https://www.econbiz.de/10004966069

Statistical inference of the efficient frontier under autocorrelated asset returns

Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Taras - 2006

Persistent link: https://www.econbiz.de/10004885488