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Statistical inference for the beta coefficient

Bodnar, Taras; Gupta, Arjun K.; Vitlinskyi, Valdemar; … - In: Risks 7 (2019) 2, pp. 1-14

The beta coefficient plays a crucial role in finance as a risk measure of a portfolio in comparison to the benchmark portfolio. In the paper, we investigate statistical properties of the sample estimator for the beta coefficient. Assuming that both the holding portfolio and the benchmark...

Persistent link: https://www.econbiz.de/10013200474

Statistical inference of the efficient frontier under autocorrelated asset returns

Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Taras - 2006

Persistent link: https://www.econbiz.de/10004885488

Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models

Bodnar, Taras; Zabolotskyy, Taras - 2007

Persistent link: https://www.econbiz.de/10004893896

Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models

Bodnar, Taras; Zabolotskyy, Taras - 2007

Persistent link: https://www.econbiz.de/10003635785

Determination and estimation of risk aversion coefficients

Bodnar, Taras; Okhrin, Yarema; Vitlinskyy, Valdemar; … - In: Computational Management Science : CMS 15 (2018) 2, pp. 297-317

Persistent link: https://www.econbiz.de/10011876592

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

Statistical inference for the beta coefficient

Bodnar, Taras; Gupta, Arjun K.; Vitlinskyi, Valdemar; … - In: Risks : open access journal 7 (2019) 2/56, pp. 1-14

Persistent link: https://www.econbiz.de/10012019030

Properties of optimal portfolio weights and their characteristics

Zabolotskyy, Taras - 2007

Persistent link: https://www.econbiz.de/10004945647

On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio

Schmid, Wolfgang; Zabolotskyy, Taras - In: Advances in statistical analysis : AStA ; a journal of … 92 (2008) 1, pp. 29-34

Persistent link: https://www.econbiz.de/10003649991

Estimation of optimal portfolio compositions for small sample and singular covariance matrix

Bodnar, Taras; Mazur, Stepan; Nguyen, Hoang - 2022

In the paper we consider the optimal portfolio choice problem under parameter uncertainty when the covariance matrix of asset returns is singular. Very useful stochastic representations are deduced for the characteristics of the expected utility optimal portfolio. Using these stochastic...

Persistent link: https://www.econbiz.de/10014331153