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

DOI10.1524/STRM.2012.1118zbMATH Open1252.62106OpenAlexW112151146MaRDI QIDQ3143705FDOQ3143705

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

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

zbMATH Keywords

asset allocationparameter uncertaintyefficient frontierminimum CVaR portfoliominimum var portfolio

Mathematics Subject Classification ID

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

Cites Work

• Coherent measures of risk
• Distributional properties of portfolio weights
• Higher moment coherent risk measures
• Estimation for Markowitz Efficient Portfolios
• Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• The distribution of the sample minimum-variance frontier
• A Test of the Efficiency of a Given Portfolio
• The optimal portfolio problem with coherent risk measure constraints.
• Estimation of optimal portfolio compositions for Gaussian returns
• On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio
• Exact properties of measures of optimal investment for benchmarked portfolios

Cited In (12)

• Determination and estimation of risk aversion coefficients
• How risky is the optimal portfolio which maximizes the Sharpe ratio?
• Singular inverse Wishart distribution and its application to portfolio theory
• Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
• Bayesian portfolio selection using VaR and CVaR
• The distribution of the sample variance of the global minimum variance portfolio in elliptical models
• Varying confidence levels for CVaR risk measures and minimax limits
• Quantile-based optimal portfolio selection
• 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
• Tail mean-variance portfolio selection with estimation risk

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