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Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models

Bodnar, Taras; Zabolotskyy, Taras - 2007

Persistent link: https://www.econbiz.de/10003635785

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

Estimation and inference of the vector autoregressive process under heteroscedasticity

Bodnar, Taras; Zabolotskyy, Taras - 2009

Persistent link: https://www.econbiz.de/10003905996

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

Statistical inference for the beta coefficient

Bodnar, Taras; Gupta, Arjun K.; Vitlinskyi, Valdemar; … - In: Risks : open access journal 7 (2019) 2/56, pp. 1-14

The beta coefficient plays a crucial role in finance as a risk measure of a portfolio in comparison to the benchmark portfolio. In the paper, we investigate statistical properties of the sample estimator for the beta coefficient. Assuming that both the holding portfolio and the benchmark...

Persistent link: https://www.econbiz.de/10012019030

Determination and estimation of risk aversion coefficients

Bodnar, Taras; Okhrin, Yarema; Vitlinskyy, Valdemar; … - In: Computational Management Science : CMS 15 (2018) 2, pp. 297-317

Persistent link: https://www.econbiz.de/10011876592