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Estimation of the term structure and its application to risk management
Zagst, Rudi - 1997
Persistent link: https://www.econbiz.de/10000980079
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Should a portfolio investor follow or neglect regime changes?
Golosnoy, Vasyl; Schmid, Wolfgang - 2003
Persistent link: https://www.econbiz.de/10001774747
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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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Optimal investment decisions with exponential utility function
Kozhan, Roman; Schmid, Wolfgang - 2005
Persistent link: https://www.econbiz.de/10002913595
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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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On the exact distribution of the estimated EU portfolio weights : theory and applications
Bodnar, Taras; Schmid, Wolfgang - 2009
Persistent link: https://www.econbiz.de/10003905998
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On the equivalence of quadratic optimization problems commonly used in portfolio theory
Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 229 (2013) 3, pp. 637-644
Persistent link: https://www.econbiz.de/10009764304
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A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - 2015
Persistent link: https://www.econbiz.de/10011283724
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EWMA control charts for monitoring optimal portfolio weights
Golosnoy, Vasyl; Schmid, Wolfgang - 2008
Persistent link: https://www.econbiz.de/10003800395