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• W2133331330 abstract "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." @default.
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• W2133331330 date "2009-01-01" @default.
• W2133331330 modified "2023-09-23" @default.
• W2133331330 title "Construction and Inferences of the Efficient Frontier in Elliptical Models" @default.
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• W2133331330 doi "https://doi.org/10.14490/jjss.39.193" @default.
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