110
Views
0
CrossRef citations to date
0
Altmetric
Research Papers

An exact test on structural changes in the weights of the global minimum variance portfolio

Pages 363-370 | Received 20 Nov 2006, Accepted 24 Jul 2008, Published online: 15 Apr 2009

References

  • Abramowitz , M and Stegun , IA . 1984 . Pocketbook of Mathema-tical Functions , Frankfurt (Main) : Verlag Harri Deutsch .
  • Best , MJ and Grauer , RR . 1991 . On the sensitivity of mean-variance-efficient portfolios to changes in asset means: some analytical and computational results . Rev. Finan. Stud. , 4 : 315 – 342 .
  • Bodnar , T and Schmid , W . 2008a . Econometrical analysis of the sample efficient frontier . Eur. J. Finan. , DOI: 10.1080/13518470802423478
  • Bodnar , T and Schmid , W . 2008b . A test for the weights of the global minimum variance portfolio in an elliptical model . Metrika , 67 : 127 – 143 .
  • Britten-Jones , M . 1999 . The sampling error in estimates of mean-variance efficient portfolio weights . J. Finan. , 54 : 655 – 671 .
  • Chan , LKC , Karceski , J and Lakonishok , J . 1999 . On portfolio optimization: forecasting and choosing the risk model . Rev. Finan. Stud. , 12 : 937 – 974 .
  • Chopra , VK and Ziemba , WT . 1993 . The effect of errors in means, variances and covariances on optimal portfolio choice . J. Portfolio Manag. , Winter : 6 – 11 .
  • Fama , EF . 1976 . Foundations of Finance , New York : Basic Books .
  • Fleming , J , Kirby , C and Ostdiek , B . 2001 . The economic value of volatility timing . J. Finan. , 56 : 329 – 352 .
  • Frahm , G . 2007 . “ Linear statistical inference for global and local minimum variance portfolio. Discussion Paper 1. ” . University of Cologne .
  • Greene , WH . 2003 . Econometric Analysis , Englewood Cliffs, NJ : Prentice Hall .
  • Gupta , AK and Varga , T . 1993 . Elliptically Contoured Models in Statistics , Dordrecht : Kluwer Academic Publishers .
  • Jagannathan , R and Ma , T . 2003 . Risk reduction in large portfolios: why imposing the wrong constrains helps . J. Finan. , 58 : 1651 – 1683 .
  • Kempf , A and Memmel , C . 2006 . Estimating the global minimum variance portfolio . Schmalenbach Bus. Rev. , 58 : 332 – 348 .
  • Litterman , B . 2003 . Modern Investment Management , New York : Wiley .
  • Markowitz , H . 1952 . Portfolio selection . J. Finan. , 7 : 77 – 91 .
  • Mathai , AM and Provost , SB . 1992 . Quadratic Forms in Random Variables , New York : Marcel Dekker .
  • Merton , RC . 1972 . An analytical derivation of the efficient frontier . J. Finan. Quant. Anal. , 7 : 1851 – 1872 .
  • Merton , RC . 1980 . On estimating the expected return on the market: an exploratory investigation . J. Finan. Econ. , 8 : 323 – 361 .
  • Okhrin , Y and Schmid , W . 2006 . Distributional properties of portfolio weights . J. Econometr. , 134 : 235 – 256 .
  • Rao , CR and Toutenburg , H . 1995 . Linear Models , Berlin : Springer .
  • Stambaugh , RF . 1997 . Analyzing investments whose histories differ in length . J. Finan. Econ. , 45 : 285 – 331 .
  • Tu , J and Zhou , G . 2004 . Data-generating process uncertainty: what difference does it make in portfolio decisions? . J. Finan. Econ. , 72 : 385 – 421 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.