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Statistical inference of the efficient frontier for dependent asset returns

✍ Scribed by Taras Bodnar; Wolfgang Schmid; Taras Zabolotskyy


Book ID
106045286
Publisher
Springer-Verlag
Year
2007
Tongue
English
Weight
222 KB
Volume
50
Category
Article
ISSN
0932-5026

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Statistical estimation of optimal portfo
✍ Hiroshi Shiraishi; Masanobu Taniguchi 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 370 KB

## Abstract This paper discusses the asymptotic efficiency of estimators for optimal portfolios when returns are vector‐valued non‐Gaussian stationary processes. We give the asymptotic distribution of portfolio estimators __ĝ__ for non‐Gaussian dependent return processes. Next we address the proble