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]
@article{BodnarDPS19,
title = {Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting},
author = {Taras Bodnar and Solomiia Dmytriv and Nestor Parolya and Wolfgang Schmid},
year = {2019},
doi = {10.1109/TSP.2019.2929964},
url = {https://doi.org/10.1109/TSP.2019.2929964},
researchr = {https://researchr.org/publication/BodnarDPS19},
cites = {0},
citedby = {0},
journal = {IEEE Transactions on Signal Processing},
volume = {67},
number = {17},
pages = {4479-4493},
}