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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
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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
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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: AStA Advances in Statistical Analysis 92 (2008) 1, pp. 29-34
Persistent link: https://www.econbiz.de/10005598110