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

DOI10.1524/strm.2012.1118zbMath1252.62106MaRDI 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 uncertainty; efficient frontier; asset allocation; minimum CVaR portfolio; minimum var portfolio

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62H12: Estimation in multivariate analysis

62F25: Parametric tolerance and confidence regions

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

62H15: Hypothesis testing in multivariate analysis

91G10: Portfolio theory

Related Items

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

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