Statistical inference for systemic risk-driven portfolio selection

DOI10.1016/J.JECONOM.2025.106127MaRDI QIDQ6856899zbMATH OpenFDO

Authors T. C. Fung, Yinhuan Li, Liang Peng, Linyi Qian

Publication date 18 February 2026

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2025.106127

zbMATH Keywords

asymptotic theoryconditional expected shortfallmoving block bootstrapnonparametric estimationportfolio risk management

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• Blockwise bootstrapped empirical process for stationary sequences
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• Equity Portfolio Diversification*
• Kernel density estimation based distributionally robust mean-CVaR portfolio optimization
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Multivariate skewt-distribution
• Seven proofs for the subadditivity of expected shortfall
• Systemic risk-driven portfolio selection
• The jackknife and the bootstrap for general stationary observations
• Weak convergence of the empirical copula process with respect to weighted metrics

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