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Identification-robust inference on risk premia of mimicking portfolios of non-traded factors
Kleibergen, Frank; Zhang, Zhaoguo - In: Journal of financial econometrics : official journal of … 16 (2018) 2, pp. 155-190
Persistent link: https://www.econbiz.de/10011987757
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Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds
Beaulieu, Marie-Claude; Khalaf, Lynda; Kichian, Maral; … - In: Econometric reviews 41 (2022) 10, pp. 1205-1242
Persistent link: https://www.econbiz.de/10013490702
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Statistical approach for open bonus malus
Guerreiro, Gracinda Rita; Mexia, João Tiago; Miguens, … - In: Astin bulletin : the journal of the International … 44 (2014) 1, pp. 63-83
Persistent link: https://www.econbiz.de/10010240689
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On portfolio selection under extreme risk measure : the heavy-tailed ICA model
Clémençon, Stéphan; Slim, Skander - In: International journal of theoretical and applied finance 10 (2007) 3, pp. 449-474
Persistent link: https://www.econbiz.de/10003463451
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Linear statistical inference for global and local minimum variance portfolios
Frahm, Gabriel (contributor) - 2007
of the estimated expected portfolio returns. -- Estimation risk ; linear regression theory ; Markowitz portfolio …
Persistent link: https://www.econbiz.de/10003449380
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Probability and statistics for finance
Račev, Svetlozar T.; Höchstötter, Markus; Fabozzi, … - 2010
finance. Includes detailed discussions of descriptive statistics, basic probability theory, inductive statistics, and …
Persistent link: https://www.econbiz.de/10008665229
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Statistical inference and efficient portfolio investment performance
Liu, Shibo; Weyman-Jones, Thomas G.; Glass, Karligash - 2015
Persistent link: https://www.econbiz.de/10011536228
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Where is the value added of rebalancing? : a systematic comparison of alternative rebalancing strategies
Dichtl, Hubert; Drobetz, Wolfgang; Wambach, Martin - In: Financial markets and portfolio management 28 (2014) 3, pp. 209-231
Persistent link: https://www.econbiz.de/10010399419
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Statistical Inferences for Realized Portfolio Weights
Golosnoy, Vasyl - 2018
Statistical inferences for weights of the global minimum variance portfolio (GMVP) are of both theoretical and practical relevance for mean-variance portfolio selection. Daily realized GMVP weights depend only on realized covariance matrix computed from intraday highfrequency returns. In this...
Persistent link: https://www.econbiz.de/10012912220
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Robust inference of risks of large portfolios
Fan, Jianqing; Han, Fang; Liu, Han; Vickers, Byron - In: Journal of econometrics 194 (2016) 2, pp. 298-308
Persistent link: https://www.econbiz.de/10011705149