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Efficient Portfolio Analysis Using Distortion Risk Measures

We introduce nonparametric estimators of the sensitivity of distortion risk measure with re-spect to portfolio allocation. These estimators are used to derive the estimated e±cient portfolioallocations when distortion risk measures de¯ne the constraints and the objectives, to study theirasymptotic distributional properties, and to construct tests for the hypothesis of portfolio e±ciency.
Year of publication:
2006
Authors: Gourieroux, Christian ; Liu, Wei
Institutions: Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Number 2006-17 3 pages long
Source:
Persistent link: https://www.econbiz.de/10005703951
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