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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| Property / author | |||
| Property / author: Taras Bodnar / rank | |||
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| Property / author: Wolfgang Schmid / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / Mathematics Subject Classification ID: 91B26 / rank | |||
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| Property / Mathematics Subject Classification ID: 60G10 / rank | |||
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| Property / Mathematics Subject Classification ID: 62F12 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6226088 / rank | |||
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| Property / zbMATH Keywords | |||
efficient frontier | |||
| Property / zbMATH Keywords: efficient frontier / rank | |||
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minimum VaR portfolio | |||
| Property / zbMATH Keywords: minimum VaR portfolio / rank | |||
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minimum CVaR portfolio | |||
| Property / zbMATH Keywords: minimum CVaR portfolio / rank | |||
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parameter uncertainty | |||
| Property / zbMATH Keywords: parameter uncertainty / rank | |||
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statistical inference | |||
| Property / zbMATH Keywords: statistical inference / rank | |||
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asymptotic distribution | |||
| Property / zbMATH Keywords: asymptotic distribution / rank | |||
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matrix differentiation | |||
| Property / zbMATH Keywords: matrix differentiation / rank | |||
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Revision as of 11:14, 29 June 2023
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 |
Statements
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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