Tests for the weights of the global minimum variance portfolio in a
high-dimensional setting

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Tests for the weights of the global minimum variance portfolio in a high-dimensional setting

26 October 2017

Solomiia Dmytriv

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Papers citing "Tests for the weights of the global minimum variance portfolio in a high-dimensional setting"

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Title
Consistent Estimation of the High-Dimensional Efficient Frontier Taras Bodnar Nikolaus Hautsch Yarema Okhrin Nestor Parolya 48 0 0 23 Sep 2024
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio Taras Bodnar Nestor Parolya Erik Thorsén 42 5 0 03 Jun 2021
Statistical inference for the EU portfolio in high dimensions Taras Bodnar Solomiia Dmytriv Yarema Okhrin Nestor Parolya W. Schmid 24 14 0 10 May 2020
Spectral analysis of large reflexive generalized inverse and Moore-Penrose inverse matrices Taras Bodnar Nestor Parolya 21 2 0 27 Apr 2020
Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility D. Bauder Taras Bodnar Nestor Parolya W. Schmid 35 8 0 18 May 2017