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Portfolio selection with a rank-deficient covariance matrix
Gulliksson, Mårten; Oleynik, Anna; Mazur, Stepan - 2021
Persistent link: https://www.econbiz.de/10012605415
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Portfolio selection with a rank-deficient covariance matrix
Gulliksson, Mårten; Oleynik, Anna; Mazur, Stepan - In: Computational economics 63 (2024) 6, pp. 2247-2269
Persistent link: https://www.econbiz.de/10014636734
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Tangency portfolio weights under a skew-normal model in small and large dimensions
Javed, Farrukh; Mazur, Stepan; Thorsén, Erik - 2021
Persistent link: https://www.econbiz.de/10012605420
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Bayesian estimation of the global minimum variance portfolio
Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema - In: European journal of operational research : EJOR 256 (2017) 1, pp. 292-307
Persistent link: https://www.econbiz.de/10011611271
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Bayesian inference for the tangent portfolio
Bauder, David; Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-27
Persistent link: https://www.econbiz.de/10011970903
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Tangency portfolio weights under a skew-normal model in small and large dimensions
Javed, Farrukh; Mazur, Stepan; Thorsén, Erik - In: Journal of the Operational Research Society 75 (2024) 7, pp. 1395-1406
Persistent link: https://www.econbiz.de/10014555921