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
DOI10.1007/S00184-013-0432-1zbMATH Open1365.62401OpenAlexW2094754499MaRDI QIDQ378919FDOQ378919
Authors: T. Zabolotskyy, Taras Bodnar, Wolfgang Schmid 
Publication date: 12 November 2013
Published in: Metrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00184-013-0432-1
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Cited In (15)
- How risky is the optimal portfolio which maximizes the Sharpe ratio?
- Singular inverse Wishart distribution and its application to portfolio theory
- Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
- Statistically efficient construction of \(a\)-risk-minimizing portfolio
- Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests
- On the exact distribution of the estimated expected utility portfolio weights: theory and applications
- Interval estimation for the Sortino ratio and the Omega ratio
- Optimal portfolios with end-of-period target
- Statistical estimation of optimal portfolios for Gaussian dependent returns of assets
- Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences
- Higher order moments of the estimated tangency portfolio weights
- Asymptotic behavior of Mean-CVaR portfolio selection model under nonparametric framework
- Nonparametric kernel estimation of expected shortfall under negatively associated sequences
- The distribution of sample mean-variance portfolio weights
- On some inequalities for ψ-mixing sequences and its applications in conditional value-at-risk estimate
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