In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which …-selling constraints. A main drawback of most empirical studies on that topic is the use of simple-testing procedures which do not account … for the effects of multiple testing. For that reason we conduct several hypothesis tests which are proposed in the …

; multivariate Spearman's rho ; time-varying copula ; asymptotic test theory ; hierarchical testing ; control chart theory … so far. One reason is certainly the increasing complexity of the statistical theory, which is commonly referred to as the … the copula theory with the aim of detecting significant long-term level changes in the supervisory portfolio's dependence …

so far. One reason is certainly the increasing complexity of the statistical theory, which is commonly referred to as the … the copula theory with the aim of detecting significant long-term level changes in the supervisory portfolio's dependence …

matrix whereas Duan & Wied (2018) proposed a residual based testing procedure for constant correlation matrix which allows … for time-varying marginal variances. In this chapter, we demonstrate the application of aforementioned correlation testing …

. According to Escanciano and Olmo (2010, 2011) these problems persist when incorporating estimation and model risk by adjusting … estimation risk or misspecification risk. …