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
parameter uncertainty; efficient frontier; asset allocation; minimum CVaR portfolio; minimum var portfolio
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
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Cites Work
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