CONSTRUCTION AND INFERENCES OF THE EFFICIENT FRONTIER IN ELLIPTICAL MODELS

スポンサーリンク

概要

• 論文の詳細を見る

• In this paper, we construct a confidence region for the efficient frontier assuming the asset returns to be matrix elliptically contoured distributed. Our results extend the findings of Bodnar and Schmid (2009) to the non-normal distributed asset returns. In order to correct the overoptimism of the sample efficient frontier documented in Siegel and Woodgate (2007), the unbiased estimator of the efficient frontier is suggested. Moreover, we derive an exact overall <var>F</var>-test for the efficient frontier in elliptical models.

• 日本統計学会の論文
• 2009-12-01

著者

• Gupta Arjun

  Department of Mathematics and Statistics Bowling Green State University

• BODNAR Taras

  Department of Statistics, European University Viadrina

• Bodnar Taras

  Department Of Statistics European University Viadrina

関連論文

• Intensity-duration models based on bivariate gamma distributions
• PROPERTIES OF THE COMPLEX MATRIX VARIATE DIRICHLET DISTRIBUTION
• A SKEWED TRUNCATED PEARSON TYPE VII DISTRIBUTION
• EXACT AND APPROXIMATE DISTRIBUTIONS FOR THE LINEAR COMBINATION OF INVERTED DIRICHLET COMPONENTS
• CONSTRUCTION AND INFERENCES OF THE EFFICIENT FRONTIER IN ELLIPTICAL MODELS

スポンサーリンク