Similar Search Results

Schmid, Wolfgang (interviewee); Krämer, Walter (interviewer) - In: Wirtschafts- und sozialstatistisches Archiv : ASTA ; … 14 (2020) 1, pp. 103-111

Persistent link: https://www.econbiz.de/10012304573

Statistical inference procedure for the mean-variance efficient frontier with estimated parameters

Bodnar, Olha; Bodnar, Taras - In: Advances in statistical analysis : AStA ; a journal of … 93 (2009) 3, pp. 295-306

Persistent link: https://www.econbiz.de/10003888645

On the unbiased estimator of the efficient frontier

Bodnar, Olha; Bodnar, Taras - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1065-1073

Persistent link: https://www.econbiz.de/10008906212

Robustness of the inference procedures for the global minimum variance portfolio weights in a skew-normal model

Bodnar, Taras; Gupta, Arjun K. - In: The European journal of finance 21 (2015) 13/15, pp. 1176-1194

Persistent link: https://www.econbiz.de/10011419827

Quantile-based optimal portfolio selection

Bodnar, Taras; Lindholm, Mathias; Thorsén, Erik; … - In: Computational management science 18 (2021) 3, pp. 299-324

Persistent link: https://www.econbiz.de/10012615134

Dynamic conditional correlation multiplicative error processes

Bodnar, Taras; Hautsch, Nikolaus - In: Journal of empirical finance 36 (2016), pp. 41-67

Persistent link: https://www.econbiz.de/10011662746

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

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

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

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/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