Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting

Taras Bodnar, Solomiia Dmytriv, Nestor Parolya, Wolfgang Schmid. Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting. IEEE Transactions on Signal Processing, 67(17):4479-4493, 2019. [doi]

Abstract

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