Taras Lazariv

European University Viadrina Frankfurt (Oder)

Grosse Scharrnstr. 59

Frankfurt (Oder), Brandenburg 15230

Germany

  • European University Viadrina Frankfurt (Oder)

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Statistical Inferences for Realized Portfolio Weights

Number of pages: 24 Posted: 04 Sep 2018
Vasyl Golosnoy, Wolfgang Schmid, Miriam Isabel Seifert and Taras Lazariv
Ruhr University of Bochum, Europa-Universitaet Viadrina, Ruhr University of Bochum and European University Viadrina Frankfurt (Oder)
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Abstract:

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minimum variance portfolio, realized covariance matrix, structural change, control charts, tests for portfolio weights