Statistical inference of the efficient frontier for dependent asset returns
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DOI: 10.1007/s00362-007-0108-x
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- Taras Bodnar & Wolfgang Schmid & Taras Zabolotskyy, 2013. "Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(8), pages 1105-1134, November.
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Keywords
Asset allocation; Mean–variance efficient frontier; Optimal portfolios; Asymptotic normality;All these keywords.
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