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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: Wirtschafts- und sozialstatistisches Archiv : ASTA ; … 92 (2008) 1, pp. 29-34
Persistent link: https://www.econbiz.de/10008352327
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Statistical inference of the efficient frontier under autocorrelated asset returns
Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Taras - 2006
Persistent link: https://www.econbiz.de/10004885488
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Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models
Bodnar, Taras; Zabolotskyy, Taras - 2007
Persistent link: https://www.econbiz.de/10004893896