Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data

DOI10.1007/s00184-013-0432-1zbMath1365.62401OpenAlexW2094754499MaRDI QIDQ378919

Taras Zabolotskyy, Wolfgang Schmid, Taras Bodnar

Publication date: 12 November 2013

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-013-0432-1

zbMATH Keywords

asymptotic distributionstatistical inferenceparameter uncertaintyefficient frontiermatrix differentiationminimum CVaR portfoliominimum VaR portfolio

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (6)

How risky is the optimal portfolio which maximizes the Sharpe ratio? ⋮ Nonparametric kernel estimation of expected shortfall under negatively associated sequences ⋮ On some inequalities for ψ-mixing sequences and its applications in conditional value-at-risk estimate ⋮ Singular inverse Wishart distribution and its application to portfolio theory ⋮ Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences ⋮ Higher order moments of the estimated tangency portfolio weights

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