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)
From MaRDI portal
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)
0 references
12 November 2013
0 references
efficient frontier
0 references
minimum VaR portfolio
0 references
minimum CVaR portfolio
0 references
parameter uncertainty
0 references
statistical inference
0 references
asymptotic distribution
0 references
matrix differentiation
0 references
