Asymptotic Distribution of the Sample Average Value-at-Risk in the Case of Heavy-Tailed Returns

In this paper, we provide a stable limit theorem for the asymptotic distribution of the sample average value-at-risk when the distribution of the underlying random variable X describing portfolio returns is heavy-tailed. We illustrate the convergence rate in the limit theorem assuming that X has a stable Paretian distribution and Student's t distribution

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Year of publication:	2010
Authors:	Stoyanov, Stoyan V.
Other Persons:	Rachev, Svetlozar (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Risikomaß \| Risk measure \| Statistische Verteilung \| Statistical distribution \| Stichprobenerhebung \| Sampling \| Schätztheorie \| Estimation theory \| Kapitaleinkommen \| Capital income \| Portfolio-Management \| Portfolio selection

Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Applied Functional Analysis, Vol. 3, pp. 443-461, 2008 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 6, 2007 erstellt
Classification:	G32 - Financing Policy; Capital and Ownership Structure ; C16 - Specific Distributions
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013134876