Robust inference of risks of large portfolios
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Computational methods for problems pertaining to statistics (62-08) Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Abstract: We propose a bootstrap-based robust high-confidence level upper bound (Robust H-CLUB) for assessing the risks of large portfolios. The proposed approach exploits rank-based and quantile-based estimators, and can be viewed as a robust extension of the H-CLUB method (Fan et al., 2015). Such an extension allows us to handle possibly misspecified models and heavy-tailed data. Under mixing conditions, we analyze the proposed approach and demonstrate its advantage over the H-CLUB. We further provide thorough numerical results to back up the developed theory. We also apply the proposed method to analyze a stock market dataset.
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