On the application of new tests for structural changes on global minimum-variance portfolios
We investigate if portfolios can be improved if the classical Markowitz mean–variance portfolio theory is combined with recently proposed change point tests for dependence measures. Taking into account that the dependence structure of financial assets typically cannot be assumed to be constant over...
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| Veröffentlicht in: | Statistical papers (Berlin, Germany) Germany), 2013-11, Vol.54 (4), p.955-975 |
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| container_title | Statistical papers (Berlin, Germany) |
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| creator | Wied, Dominik Ziggel, Daniel Berens, Tobias |
| description | We investigate if portfolios can be improved if the classical Markowitz mean–variance portfolio theory is combined with recently proposed change point tests for dependence measures. Taking into account that the dependence structure of financial assets typically cannot be assumed to be constant over longer periods of time, we estimate the covariance matrix of the assets, which is used to construct global minimum-variance portfolios, by respecting potential change points. It is seen that a recently proposed test for changes in the whole covariance matrix is indeed partially useful whereas pairwise tests for variances and correlations are not suitable for these applications without further adjustments. |
| doi_str_mv | 10.1007/s00362-013-0511-4 |
| format | Article |
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| source | SpringerLink Journals - AutoHoldings; EBSCOhost Business Source Complete |
| subjects | Adjustment Construction costs Correlation Covariance matrix Economic Theory/Quantitative Economics/Mathematical Methods Economics Estimates Finance Insurance Management Mathematics and Statistics Operations Research/Decision Theory Optimization Portfolio management Probability Theory and Stochastic Processes Regular Article Statistical analysis Statistics Statistics for Business Studies Time series |
| title | On the application of new tests for structural changes on global minimum-variance portfolios |
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