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~person:"Mazur, Stepan"
~person:"Schmid, Wolfgang"
~person:"Storti, Giuseppe"
~subject:"Portfolio-Management"
~subject:"Statistical quality control"
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Portfolio-Management
Statistical quality control
Analysis of variance
24
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24
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13
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12
Estimation theory
10
Schätztheorie
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Mazur, Stepan
Schmid, Wolfgang
Storti, Giuseppe
De Nard, Gianluca
9
Ledoit, Olivier
9
Wolf, Michael
9
Bodnar, Taras
8
Paterlini, Sandra
7
Erlenmaier, Ulrich
5
Golosnoy, Vasyl
5
Chiu, Wan-Yi
4
Engle, Robert F.
4
Frahm, Gabriel
4
Gersbach, Hans
4
Lakonishok, Josef
4
Li, Yingying
4
Memmel, Christoph
4
Okhrin, Yarema
4
Peñaranda, Francisco
4
Sentana, Enrique
4
Zheng, Xinghua
4
Bonaccolto, Giovanni
3
Bonato, Matteo
3
Caporin, Massimiliano
3
Hotta, Luiz K.
3
Karceski, Jason
3
Knoth, Sven
3
Korn, Ralf
3
Malec, Peter
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Ranaldo, Angelo
3
Riccobello, Riccardo
3
Santos, André A. P.
3
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3
Wong, Hoi Ying
3
Zevallos, Mauricio
3
Albrecht, Peter
2
Bekaert, Geert
2
Branger, Nicole
2
Candelon, Bertrand
2
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Chan, Louis K.C.
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Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series
8
European journal of operational research : EJOR
2
Advances in statistical analysis : AStA ; a journal of the German Statistical Society
1
Annals of economics and statistics
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ECONIS (ZBW)
15
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1
Portfolio selection with a rank-deficient covariance matrix
Gulliksson, Mårten
;
Oleynik, Anna
;
Mazur, Stepan
-
2021
Persistent link: https://www.econbiz.de/10012605415
Saved in:
2
An iterative approach to ill-conditioned optimal portfolio selection
Gulliksson, Mårten
;
Mazur, Stepan
- In:
Computational economics
56
(
2020
)
4
,
pp. 773-794
Persistent link: https://www.econbiz.de/10012390467
Saved in:
3
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
Saved in:
4
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
Saved in:
5
Forecasting comparison of long term component dynamic models for realized covariance matrices
Bauwens, Luc
;
Braione, Manuela
;
Storti, Giuseppe
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 103-134
Persistent link: https://www.econbiz.de/10011592738
Saved in:
6
Statistical inference of the efficient frontier for dependent asset returns
Bodnar, Taras
;
Schmid, Wolfgang
;
Zabolotskyy, Taras
- In:
Statistical papers
50
(
2009
)
3
,
pp. 593-604
Persistent link: https://www.econbiz.de/10003844054
Saved in:
7
Surveillance of the covariance matrix of multivariate nonlinear time series
Śliwa, Przemysław
;
Schmid, Wolfgang
-
2008
Persistent link: https://www.econbiz.de/10003800389
Saved in:
8
EWMA control charts for monitoring optimal portfolio weights
Golosnoy, Vasyl
;
Schmid, Wolfgang
-
2008
Persistent link: https://www.econbiz.de/10003800395
Saved in:
9
Comparison of different estimation techniques for portfolio selection
Okhrin, Yarema
;
Schmid, Wolfgang
-
2008
Persistent link: https://www.econbiz.de/10003800400
Saved in:
10
Comparison of different estimation techniques for portfolio selection
Okhrin, Yarema
;
Schmid, Wolfgang
- In:
Advances in statistical analysis : AStA ; a journal of …
91
(
2007
)
2
,
pp. 109-127
Persistent link: https://www.econbiz.de/10003525357
Saved in:
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