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ArticleDistributional properties of portfolio weights

Yarema Okhrin2005

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Articlegreen2005

Distributional properties of portfolio weights

Yarema Okhrin · Wolfgang Schmid

212 citations·0/0 files stored·Journal of Econometrics

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1965The Behavior of Stock-Market Prices 1971Optimum consumption and portfolio rules in a continuous-time model 1952Portfolio Selection 1980On estimating the expected return on the market 1991Investor Diversification and International Equity Markets 1989Handbooks in operations research and management science 1988Theory of Financial Decision Making.2002International Asset Allocation With Regime Shifts

Cited by

2008The Distribution of the Sample Minimum-Variance Frontier 2010Dominating estimators for minimum-variance portfolios 2006Estimating the Global Minimum Variance Portfolio 2021Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case 2017Estimation of the global minimum variance portfolio in high dimensions 2016Bayesian estimation of the global minimum variance portfolio 2008

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2007A test for the weights of the global minimum variance portfolio in an elliptical modelarticle · 12 shared references 2016Bayesian estimation of the global minimum variance portfolioarticle · 7 shared references 2008Econometrical analysis of the sample efficient frontierarticle · 7 shared references 2007EWMA Control Charts for Monitoring Optimal Portfolio Weightsarticle · 7 shared references 1995Chapter 1 Portfolio theorychapter · 7 shared references 2010Portfolio Choice Problemschapter · 6 shared references

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Year2005

Typearticle

Published2005-08-16

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations212

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.jeconom.2005.06.022

openalex_workW1990653470

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Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice Under Parameter Uncertainty

2012Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix