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Golosnoy, Vasyl; Gribisch, Bastian; Seifert, Miriam Isabel

Sample and realized minimum variance portfolios: estimation, statistical inference, and tests. (English) Zbl 07910980

Wiley Interdiscip. Rev., WIREs Comput. Stat. 14, No. 5, Article ID e1556, 18 p. (2022).

Cited in 1 Document

MSC:

62-08 Computational methods for problems pertaining to statistics

Keywords:

portfolio selection; realized covariances; realized GMVP weights; sample GMVP weights
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