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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- 作者：Taras Bodnar (1)
Wolfgang Schmid (2)
Taras Zabolotskyy (3) - 关键词：Efficient frontier ; Minimum VaR portfolio ; Minimum CVaR portfolio ; Parameter uncertainty ; Statistical inference ; Asymptotic distribution ; Matrix differentiation
- 刊名：Metrika
- 出版年：2013
- 出版时间：November 2013
- 年：2013
- 卷：76
- 期：8
- 页码：1105-1134
- 全文大小：566KB
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Wolfgang Schmid (2)
Taras Zabolotskyy (3)
1. Department of Mathematics, Humboldt-University of Berlin, Unter den Linden 6, 10099, Berlin, Germany
2. Department of Statistics, European University Viadrina, PO Box 1786, 15207, Frankfurt (Oder), Germany
3. Lviv Institute of Banking, University of Banking of the National Bank of Ukraine, Shevchenka Ave. 9, 79005, Lviv, Ukraine - ISSN：1435-926X
文摘
In this paper we derive the asymptotic distributions of the estimated weights and of estimated performance measures of the minimum value-at-risk portfolio and of the minimum conditional value-at-risk portfolio assuming that the asset returns follow a strictly stationary process. It is proved that the estimated weights as well as the estimated performance measures are asymptotically multivariate normally distributed. We also present an asymptotic test for the weights and a joint test for the characteristics of both portfolios. Moreover, the asymptotic densities of the estimated performance measures are compared with the corresponding exact densities. It is shown that the asymptotic approximation performs well even for the moderate sample size.