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Bodnar et al., 2009 - Google Patents

Econometrical analysis of the sample efficient frontier

Bodnar et al., 2009

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Document ID
13857715764869842705
Author
Bodnar T
Schmid W
Publication year
Publication venue
The European journal of finance

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Snippet

The efficient frontier is a parabola in the mean-variance space which is uniquely determined by three characteristics. Assuming that the portfolio asset returns are independent and multivariate normally distributed, we derive tests and confidence sets for all possible …
Continue reading at www.researchgate.net (PDF) (other versions)

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