Robustness of the inference procedures for the global minimum variance portfolio weights in a skew-normal model
Taras Bodnar and Arjun K. Gupta
| Year of publication: |
October-December 2015
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| Authors: | Bodnar, Taras ; Gupta, Arjun K. |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 21.2015, 13/15, p. 1176-1194
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| Subject: | asset pricing | parameter uncertainty | matrix variate skew-normal distribution | global minimum variance portfolio | statistical inference procedures | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance | Induktive Statistik | Statistical inference | Volatilität | Volatility |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2012.696073 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011419827