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 (Q378919): Difference between revisions
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Revision as of 00:38, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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 |
scientific article |
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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 (English)
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12 November 2013
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efficient frontier
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minimum VaR portfolio
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minimum CVaR portfolio
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parameter uncertainty
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statistical inference
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asymptotic distribution
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matrix differentiation
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