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

DOI10.1524/STRM.2012.1118MaRDI QIDQ3143705zbMATH OpenOpenAlexFDO

Authors Taras Bodnar, Wolfgang Schmid, T. 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

asset allocationefficient frontierminimum CVaR portfoliominimum var portfolioparameter uncertainty

Mathematics Subject Classification ID

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

Recommendations

• 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
• Linear statistical inference for global and local minimum variance portfolios
• The distribution of the sample variance of the global minimum variance portfolio in elliptical models
• Estimating allocations for value-at-risk portfolio optimization
• Bayesian portfolio selection using VaR and CVaR

Cites work

• A Test of the Efficiency of a Given Portfolio
• Coherent measures of risk
• Distributional properties of portfolio weights
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• Estimation for Markowitz Efficient Portfolios
• Estimation of optimal portfolio compositions for Gaussian returns
• Exact properties of measures of optimal investment for benchmarked portfolios
• Higher moment coherent risk measures
• 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 distribution of the sample minimum-variance frontier
• The optimal portfolio problem with coherent risk measure constraints.

Cited in

(13)

• 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
• Varying confidence levels for CVaR risk measures and minimax limits
• Another look at portfolio optimization with mental accounts
• An exact test on structural changes in the weights of the global minimum variance portfolio
• 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
• The distribution of the sample variance of the global minimum variance portfolio in elliptical models
• Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
• Optimal portfolio and confidence set
• Tail mean-variance portfolio selection with estimation risk
• Singular inverse Wishart distribution and its application to portfolio theory

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