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)
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scientific article; zbMATH DE number 6226088
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| 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; zbMATH DE number 6226088 |
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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0.8568549156188965
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0.8258272409439087
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0.8047812581062317
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0.7755645513534546
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0.7748445868492126
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