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 (Q378919)

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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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    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 (English)
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    12 November 2013
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    efficient frontier
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    minimum VaR portfolio
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    minimum CVaR portfolio
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    parameter uncertainty
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    statistical inference
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    asymptotic distribution
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    matrix differentiation
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