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Statistical process control and its application in finance
Severin, Thomas - In: Risk measurement, econometrics and neural networks : …, (pp. 83-104). 1998
Persistent link: https://www.econbiz.de/10001305358
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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
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On the exact distribution of the estimated EU portfolio weights : theory and applications
Bodnar, Taras; Schmid, Wolfgang - 2009
Persistent link: https://www.econbiz.de/10003905998
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On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 246 (2015) 2, pp. 528-542
Persistent link: https://www.econbiz.de/10011338116
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On the structure and estimation of hierarchical archimedian copulas
Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang - 2008
Persistent link: https://www.econbiz.de/10003800392
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Multi-period power utility optimization under stock return predictability
Bodnar, Taras; Ivasiuk, Dmytro; Parolya, Nestor; … - In: Computational management science 20 (2023) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10014228499
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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/10003844054