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Stepwise expanding the frontier one asset at a time
Chiu, Wan-Yi - In: Finance research letters 46 (2022) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10013341338
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Analysing the information embedded in the optimal mean-variance weights : CAPM versus Bamberg and Dorfleitner model
Bosch-Badia, Maria-Teresa; Montllor i Serrats, Joan; … - In: Review of managerial science 11 (2017) 4, pp. 789-814
Persistent link: https://www.econbiz.de/10011722001
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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
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Global minimum variance portfolio optimisation under some model risk : a robust regression-based approach
Maillet, Bertrand; Tokpavi, Sessi; Vaucher, Benoit - In: European journal of operational research : EJOR 244 (2015) 1, pp. 289-299
Persistent link: https://www.econbiz.de/10010531938
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Sampling error and double shrinkage estimation of minimum variance portfolio
Candelon, Bertrand; Hurlin, Christophe; Tokpavi, S. - In: Journal of empirical finance 19 (2012) 4, pp. 511-527
Persistent link: https://www.econbiz.de/10009615665
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Maximum likelihood estimation of covariance matrices with constraints on the efficient frontier
Yilmaz, Hilal; Pearson, Neil D. - In: International journal of computational economics and … 6 (2016) 1, pp. 71-92
Persistent link: https://www.econbiz.de/10011588856
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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
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Estimation of the global minimum variance portfolio in high dimensions
Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 266 (2018) 1, pp. 371-390
Persistent link: https://www.econbiz.de/10011811777
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Should (co)jump variation be included in asset allocation?
Chen, Zirong; Lin, Haonan; Zheng, Xu - In: Applied economics letters 29 (2022) 20, pp. 1868-1875
Persistent link: https://www.econbiz.de/10013412321
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Mean-variance hedging in the presence of estimation risk
Chiu, Wan-Yi - In: Review of derivatives research 24 (2021) 3, pp. 221-241
Persistent link: https://www.econbiz.de/10012659670