A basic result is that the sample mean for i.i.d. observations is an unbiased estima- tor of the variance of the underlying distribution (see for instance Casella and Berger (2002)). But what happens if the observations are neither independent nor identi- cally distributed. What can we say? Can...

Statistical inferences for weights of the global minimum variance portfolio (GMVP) are of both theoretical and practical relevance for mean-variance portfolio selection. Daily realized GMVP weights depend only on realized covariance matrix computed from intraday highfrequency returns. In this...