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Sampling distributions of optimal portfolio weights and characteristics in low and large dimensions
Bodnar, Taras; Dette, Holger; Parolya, Nestor; … - Sonderforschungsbereich Statistical Modelling of … - 2019
Persistent link: https://www.econbiz.de/10012119286
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Bayesian mean-variance analysis : optimal portfolio selection under parameter uncertainty
Bauder, David; Bodnar, Taras; Parolya, Nestor; Schmid, … - In: Quantitative finance 21 (2021) 2, pp. 221-242
Persistent link: https://www.econbiz.de/10012424557
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Change point analysis of a Gaussian model
Chen, Jie; Gupta, Arjun K. - In: Statistical papers 40 (1999) 3, pp. 323-333
Persistent link: https://www.econbiz.de/10001401146
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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