Statistical inference of the efficient frontier for dependent asset returns |
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Authors: | Taras Bodnar Wolfgang Schmid Taras Zabolotskyy |
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Institution: | 1.Europa-Universit?t Viadrina,Frankfurt (Oder),Germany |
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Abstract: | In the paper we consider the three characteristics of the efficient frontier. These characteristics are estimated by substituting
the unknown parameters by the sample counterparts. Assuming that the asset returns follow a stationary Gaussian process it
is shown that the estimated characteristics are asymptotically normally distributed. This result is used to determine the
joint asymptotic distribution of the estimated portfolio return and the estimated portfolio variance in the case of the expected
utility portfolio and the tangency portfolio, respectively. |
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Keywords: | Asset allocation Mean– variance efficient frontier Optimal portfolios Asymptotic normality |
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