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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
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Asset allocation with distorted beliefs and transaction costs
Kozhan, Roman; Schmid, Wolfgang - In: European journal of operational research : EJOR 194 (2009) 1, pp. 236-249
Persistent link: https://www.econbiz.de/10003835447
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Multivariate CUSUM chart : properties and enhancements
Golosnoy, Vasyl; Ragulin, Sergiy; Schmid, Wolfgang - In: Advances in statistical analysis : AStA ; a journal of … 93 (2009) 3, pp. 263-279
Persistent link: https://www.econbiz.de/10003888617
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CUSUM charts for monitoring the mean of a multivariate Gaussian process
Bodnar, Olha; Schmid, Wolfgang - 2009
Persistent link: https://www.econbiz.de/10003905999
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Estimation of optimal portfolio weights
Okhrin, Yarema; Schmid, Wolfgang - 2007
Persistent link: https://www.econbiz.de/10003697373
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Comparison of different estimation techniques for portfolio selection
Okhrin, Yarema; Schmid, Wolfgang - In: Advances in statistical analysis : AStA ; a journal of … 91 (2007) 2, pp. 109-127
Persistent link: https://www.econbiz.de/10003525357
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Statistical surveillance of volatility forecasting models
Golosnoy, Vasyl; Okhrin, Irena; Schmid, Wolfgang - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 513-543
Persistent link: https://www.econbiz.de/10009571510
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On the structure and estimation of hierarchical Archimedean copulas
Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang - In: Journal of econometrics 173 (2013) 2, pp. 189-204
Persistent link: https://www.econbiz.de/10009711709
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Statistical process control in asset management
Golosnoy, Vasyl; Schmid, Wolfgang - In: Applied quantitative finance, (pp. 399-416). 2009
Persistent link: https://www.econbiz.de/10003746429
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Surveillance of the risk behaviour of a time dependent process
Schmid, Wolfgang; Zabolotska, Svitlana - 2008
Persistent link: https://www.econbiz.de/10003800378