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An exact test about the covari...
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Kapitaleinkommen
Theorie
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Schätztheorie
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copula
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multiplicative error model
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parameter uncertainty
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stochastic representation
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trading processes
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Stochastischer Prozess
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Wishart distribution
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mean-variance portfolio
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singular Wishart distribution
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Covariance matrix estimation
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Covariance targeting
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Bodnar, Taras
8
Schmid, Wolfgang
4
Tyrcha, Joanna
3
Alfelt, Gustav
2
Javed, Farrukh
2
Parolya, Nestor
2
Bodnar, Olha
1
Ivasiuk, Dmytro
1
Lindholm, Mathias
1
Thorsén, Erik
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Zabolotskyy, Taras
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Computational management science
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Advances in statistical analysis : AStA ; a journal of the German Statistical Society
1
Diskussionspapiere der Europa-Universität Viadrina Frankfurt (Oder), Fakultät Wirtschaftswissenschaften
1
European journal of operational research : EJOR
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
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1
Statistical inference procedure for the mean-variance efficient frontier with estimated parameters
Bodnar, Olha
;
Bodnar, Taras
- In:
Advances in statistical analysis : AStA ; a journal of …
93
(
2009
)
3
,
pp. 295-306
Persistent link: https://www.econbiz.de/10003888645
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2
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
Saved in:
3
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
Saved in:
4
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
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5
Quantile-based optimal portfolio selection
Bodnar, Taras
;
Lindholm, Mathias
;
Thorsén, Erik
; …
- In:
Computational management science
18
(
2021
)
3
,
pp. 299-324
Persistent link: https://www.econbiz.de/10012615134
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6
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
-
2021
Persistent link: https://www.econbiz.de/10012603081
Saved in:
7
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
Saved in:
8
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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