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A test for the global minimum variance portfolio for small sample and singular covariance

Crossref DOI link: https://doi.org/10.1007/s10182-016-0282-z

Published Online: 2016-11-17

Published Print: 2017-07

Update policy: https://doi.org/10.1007/springer_crossmark_policy

Authors

Bodnar, Taras

Mazur, Stepan

Podgórski, Krzysztof
Funding

Funding for this research was provided by:

Deutsche Forschungsgemeinschaft (BO 3521/3-1, SCHM 859/13-1)

Villum Fonden

Riksbankens Jubileumsfond Grant (P13-1024:1)

Swedish Research Council (2013-5180)
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License valid from 2016-11-17