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The distribution of the global minimum variance estimator in elliptical models
Bodnar, Taras; Schmid, Wolfgang - 2003
Persistent link: https://www.econbiz.de/10001916051
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A test for the weights of the global minimum variance portfolio in an elliptical model
Bodnar, Taras; Schmid, Wolfgang - 2004
Persistent link: https://www.econbiz.de/10001916052
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Revision policy for the two assets global minimum variance portfolio
Golosnoy, Vasyl - 2003
Persistent link: https://www.econbiz.de/10001786458
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Natural shrinkage for the optimal portfolio weights
Golosnoy, Vasyl - 2004
Persistent link: https://www.econbiz.de/10002176936
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EWMA charts for monitoring the mean and the autocovariances of stationary Gaussian processes
Rosołowski, Maciej; Schmid, Wolfgang - 2008
Persistent link: https://www.econbiz.de/10003800387
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EWMA control charts for monitoring optimal portfolio weights
Golosnoy, Vasyl; Schmid, Wolfgang - 2008
Persistent link: https://www.econbiz.de/10003800395
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New characteristics for portfolio surveillance
Golosnoy, Vasyl; Okhrin, Iryna; Schmid, Wolfgang - 2008
Persistent link: https://www.econbiz.de/10003800417
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EWMA charts for monitoring the mean and the autocovariances of stationary processes
Rosołiwski, Maciej; Schmid, Wolfgang - 2002
Persistent link: https://www.econbiz.de/10001693098
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Distributional properties of portfolio weights
Okhrin, Yarema; Schmid, Wolfgang - 2002
Persistent link: https://www.econbiz.de/10001693102
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Estimation of optimal portfolio weights
Okhrin, Yarema; Schmid, Wolfgang - 2007
Persistent link: https://www.econbiz.de/10003697373