Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests

DOI10.1524/strm.2012.1118zbMath1252.62106OpenAlexW112151146MaRDI QIDQ3143705

Taras Bodnar, Wolfgang Schmid, Taras Zabolotskyy

Publication date: 3 December 2012

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/strm.2012.1118

zbMATH Keywords

parameter uncertaintyefficient frontierasset allocationminimum CVaR portfoliominimum var portfolio

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Parametric tolerance and confidence regions (62F25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Hypothesis testing in multivariate analysis (62H15) Portfolio theory (91G10)

Related Items (8)

Determination and estimation of risk aversion coefficients ⋮ How risky is the optimal portfolio which maximizes the Sharpe ratio? ⋮ Bayesian portfolio selection using VaR and CVaR ⋮ 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 ⋮ Another look at portfolio optimization with mental accounts ⋮ Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions ⋮ Singular inverse Wishart distribution and its application to portfolio theory ⋮ Quantile-based optimal portfolio selection

Cites Work

• Distributional properties of portfolio weights
• On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio
• Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
• The optimal portfolio problem with coherent risk measure constraints.
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• Coherent Measures of Risk
• The Distribution of the Sample Minimum-Variance Frontier
• Exact properties of measures of optimal investment for benchmarked portfolios
• Estimation of optimal portfolio compositions for Gaussian returns
• Estimation for Markowitz Efficient Portfolios
• A Test of the Efficiency of a Given Portfolio
• Higher moment coherent risk measures

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