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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Cites work
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- scientific article; zbMATH DE number 3765004 (Why is no real title available?)
- scientific article; zbMATH DE number 48335 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 1077338 (Why is no real title available?)
- scientific article; zbMATH DE number 3335601 (Why is no real title available?)
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- Asymptotic behavior of Mean-CVaR portfolio selection model under nonparametric framework
- Nonparametric kernel estimation of expected shortfall under negatively associated sequences
- On some inequalities for ψ-mixing sequences and its applications in conditional value-at-risk estimate
- The distribution of sample mean-variance portfolio weights
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