Similar Search Results

Statistical inference for the beta coefficient

Bodnar, Taras; Gupta, Arjun K.; Vitlinskyi, Valdemar; … - In: Risks 7 (2019) 2, pp. 1-14

The beta coefficient plays a crucial role in finance as a risk measure of a portfolio in comparison to the benchmark portfolio. In the paper, we investigate statistical properties of the sample estimator for the beta coefficient. Assuming that both the holding portfolio and the benchmark...

Persistent link: https://www.econbiz.de/10013200474

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

Statistical inference for the beta coefficient

Bodnar, Taras; Gupta, Arjun K.; Vitlinskyi, Valdemar; … - In: Risks : open access journal 7 (2019) 2/56, pp. 1-14

Persistent link: https://www.econbiz.de/10012019030

Determination and estimation of risk aversion coefficients

Bodnar, Taras; Okhrin, Yarema; Vitlinskyy, Valdemar; … - In: Computational Management Science : CMS 15 (2018) 2, pp. 297-317

Persistent link: https://www.econbiz.de/10011876592

Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data

Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Taras - In: Metrika 76 (2013) 8, pp. 1105-1134

In this paper we derive the asymptotic distributions of the estimated weights and of estimated performance measures of the minimum value-at-risk portfolio and of the minimum conditional value-at-risk portfolio assuming that the asset returns follow a strictly stationary process. It is proved...

Persistent link: https://www.econbiz.de/10010896496

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/10004966069

On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio

Schmid, Wolfgang; Zabolotskyy, Taras - In: Advances in statistical analysis : AStA ; a journal of … 92 (2008) 1, pp. 29-34

Persistent link: https://www.econbiz.de/10003649991

On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio

Schmid, Wolfgang; Zabolotskyy, Taras - In: Wirtschafts- und sozialstatistisches Archiv : ASTA ; … 92 (2008) 1, pp. 29-34

Persistent link: https://www.econbiz.de/10008352327

On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio

Schmid, Wolfgang; Zabolotskyy, Taras - In: AStA Advances in Statistical Analysis 92 (2008) 1, pp. 29-34

Persistent link: https://www.econbiz.de/10005598110

On the exact distribution of the estimated expected utility portfolio weights: Theory and applications

Bodnar, Taras; Schmid, Wolfgang - In: Statistics & Risk Modeling 28 (2011) 4, pp. 319-342

Abstract In this paper we consider the portfolio weights obtained by maximizing the expected quadratic utility function. The unknown parameters of the return process, the mean vector and the covariance matrix, are estimated by their sample counterparts. Assuming independent and multivariate...

Persistent link: https://www.econbiz.de/10014622208