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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

Taras Bodnar
Solomiia Dmytriv
Nestor Parolya
W. Schmid
ArXiv (abs)PDFHTML

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

5 / 5 papers shown
Title
Consistent Estimation of the High-Dimensional Efficient Frontier
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
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
Statistical inference for the EU portfolio in high dimensions
Taras Bodnar
Solomiia Dmytriv
Yarema Okhrin
Nestor Parolya
W. Schmid
27
14
0
10 May 2020
Spectral analysis of large reflexive generalized inverse and Moore-Penrose inverse matrices
Spectral analysis of large reflexive generalized inverse and Moore-Penrose inverse matrices
Taras Bodnar
Nestor Parolya
23
2
0
27 Apr 2020
Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility
Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility
D. Bauder
Taras Bodnar
Nestor Parolya
W. Schmid
37
8
0
18 May 2017