Statistical inference procedure for the mean–variance efficient frontier with estimated parameters

被引：1

作者：

Olha Bodnar

Taras Bodnar

机构：

[1] European University Viadrina,Department of Statistics

来源：

AStA Advances in Statistical Analysis | 2009年 / 93卷

关键词：

Mean–variance analysis; Efficient frontier; Multivariate test; Parameter uncertainty; Exact distribution;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

We suggest finite sample tests for the location of the efficient frontier with the estimated parameters in mean–variance space. The exact densities of the test statistics are derived. We implement the introduced testing procedure empirically by considering monthly returns of ten developed stock markets. It is shown that ignoring the uncertainty about the estimated parameters leads to a more frequent reconstruction of the efficient frontier.

引用

共 32 条

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