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
Year of publication: |
2013
|
---|---|
Authors: | Bodnar, Taras ; Schmid, Wolfgang ; Zabolotskyy, Taras |
Published in: |
Metrika. - Springer. - Vol. 76.2013, 8, p. 1105-1134
|
Publisher: |
Springer |
Subject: | Efficient frontier | Minimum VaR portfolio | Minimum CVaR portfolio | Parameter uncertainty | Statistical inference | Asymptotic distribution | Matrix differentiation |
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