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  • 标题:Construction and Inferences of the Efficient Frontier in Elliptical Models
  • 本地全文:下载
  • 作者:Taras Bodnar ; Arjun Gupta
  • 期刊名称:JOURNAL OF THE JAPAN STATISTICAL SOCIETY
  • 印刷版ISSN:1882-2754
  • 电子版ISSN:1348-6365
  • 出版年度:2009
  • 卷号:39
  • 期号:2
  • 页码:193-207
  • DOI:10.14490/jjss.39.193
  • 出版社:JAPAN STATISTICAL SOCIETY
  • 摘要: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 F -test for the efficient frontier in elliptical models.
  • 关键词:Efficient frontier;mean-variance portfolio;parameter uncertainty;interval estimation;matrix variate elliptically contoured distribution;matrix variate t -distribution
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