Tests for the weights of the global minimum variance portfolio in a high-dimensional setting. (English) Zbl 1543.91094
Editorial remark: No review copy delivered.
MSC:
| 91G10 | Portfolio theory |
| 62H15 | Hypothesis testing in multivariate analysis |
| 62J07 | Ridge regression; shrinkage estimators (Lasso) |
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
