Application in Portfolio Theory

Arjun K. Gupta, Tamas Varga and Taras Bodnar
Additional contact information
Arjun K. Gupta: Bowling Green State University, Department of Mathematics and Statistics
Tamas Varga: Damjanich
Taras Bodnar: Humboldt-University of Berlin, Department of Mathematics

Chapter Chapter 10 in Elliptically Contoured Models in Statistics and Portfolio Theory, 2013, pp 237-271 from Springer

Abstract: Abstract The mean-variance analysis of Markowitz (1952) is important for both practitioners and researchers in finance. This theory provides an easy access to the problem of optimal portfolio selection. We consider the estimator for the optimal portfolio weights and the characteristics of the efficient frontier. Furthermore, an exact test for the weights of the global minimum variance portfolio is presented as well as the inferences for Markowitz’s efficient frontier are provided. Finally, an unbiased estimator of the efficient frontier is derived and an overall-F-test is suggested.

Keywords: Stock Return; Optimal Portfolio; Confidence Region; Asset Return; Efficient Frontier (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4614-8154-6_10

Ordering information: This item can be ordered from
http://www.springer.com/9781461481546

DOI: 10.1007/978-1-4614-8154-6_10

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().