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
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Publication:378919
DOI10.1007/s00184-013-0432-1zbMath1365.62401MaRDI QIDQ378919
Taras Bodnar, Wolfgang Schmid, Taras Zabolotskyy
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
asymptotic distribution; statistical inference; parameter uncertainty; efficient frontier; matrix differentiation; minimum CVaR portfolio; minimum VaR portfolio
62F12: Asymptotic properties of parametric estimators
62P05: Applications of statistics to actuarial sciences and financial mathematics
60G10: Stationary stochastic processes
91B26: Auctions, bargaining, bidding and selling, and other market models
