Search Results - subject:"Elliptical Distributions"

A COMPARISON OF MEAN-VARIANCE EFFICIENCY TESTS

Sentana, Enrique; Amegual, Dante - Centro de Estudios Monetarios y Financieros (CEMFI) - 2008

We analyse the asymptotic properties of mean-variance efficiency tests based on generalised methods of moments, and parametric and semiparametric likelihood procedures that assume elliptical innovations. We study the trade-off between efficiency and robustness, and prove that the fully...

Persistent link: https://www.econbiz.de/10008518038

THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY

Sentana, Enrique - Centro de Estudios Monetarios y Financieros (CEMFI) - 2008

This paper provides a comprehensive survey of the econometrics of mean-variance efficiency tests. Starting with the classic F test of Gibbons, Ross and Shanken (1989) and its generalised method of moments version, I analyse the effects of the number of assets and portfolio composition on test...

Persistent link: https://www.econbiz.de/10008531687

Inference on the shape of elliptical distributions based on the MCD

Paindaveine, Davy; Van Bever, Germain - In: Journal of Multivariate Analysis 129 (2014) C, pp. 125-144

The minimum covariance determinant (MCD) estimator of scatter is one of the most famous robust procedures for multivariate scatter. Despite the quite important research activity related to this estimator, culminating in the recent thorough asymptotic study of Cator and Lopuhaä (2010, 2012), no...

Persistent link: https://www.econbiz.de/10011041923

A characterization of elliptical distributions and some optimality properties of principal components for functional data

Boente, Graciela; Salibián Barrera, Matías; Tyler, … - In: Journal of Multivariate Analysis 131 (2014) C, pp. 254-264

As in the multivariate setting, the class of elliptical distributions on separable Hilbert spaces serves as an … paper, we present a simple characterization of elliptical distributions on separable Hilbert spaces, namely we show that the … class of elliptical distributions in the infinite-dimensional case is equivalent to the class of scale mixtures of Gaussian …

Persistent link: https://www.econbiz.de/10011041976

Application of a General Risk Management Model to Portfolio Optimization Problems with Elliptical Distributed Returns for Risk Neutral and Risk Averse Decision Makers

Kaynar, B.; Birbil, S.I.; Frenk, J.B.G. - Erasmus Research Institute of Management (ERIM), ERIM … - 2007

conducted. Free Keywords Elliptical distributions, Linear loss functions, Value-at-risk, Conditional value … used, we actually refer to returns of financial instruments having elliptical distributions. For instance, normal and … student-t are two typical elliptical distributions. Within this framework, we assume a linear loss function coupled with a …

Persistent link: https://www.econbiz.de/10005505034

Application of a general risk management model to portfolio optimization problems with elliptical distributed returns for risk neutral and risk averse decision makers.

Kaynar, B.; Birbil, S.I.; Frenk, J.B.G. - Erasmus University Rotterdam, Econometric Institute - 2007

. Keywords: Elliptical distributions; linear loss functions; value-at-risk; conditional value-at-risk; portfolio opti- mization … to returns of financial instruments having elliptical distributions. For instance, normal and student-t are two typical … elliptical distributions. Within this framework, we assume a linear loss function coupled with a disutility function. The type of …

Persistent link: https://www.econbiz.de/10004972213

Application of a General Risk Management Model to Portfolio Optimization Problems with Elliptical Distributed Returns for Risk Neutral and Risk Averse Decision Makers

Kaynar, B.; Birbil, Birbil, S.I.; Frenk, Frenk, J.B.G. - Erasmus Research Institute of Management (ERIM), … - 2007

In this paper portfolio problems with linear loss functions and multivariate elliptical distributed returns are studied. We consider two risk measures, Value-at-Risk and Conditional-Value-at-Risk, and two types of decision makers, risk neutral and risk averse. For Value-at-Risk, we show that the...

Persistent link: https://www.econbiz.de/10010731328

Application of a general risk management model to portfolio optimization problems with elliptical distributed returns for risk neutral and risk averse decision makers.

Kaynar, B.; Birbil, Birbil, S.I.; Frenk, Frenk, J.B.G. - Faculteit der Economische Wetenschappen, Erasmus … - 2007

We discuss a class of risk measures for portfolio optimization with linear loss functions, where the random returns of financial instruments have a multivariate elliptical distribution. Under this setting we pay special attention to two risk measures, Value-at-Risk and Conditional-Value-at-Risk...

Persistent link: https://www.econbiz.de/10010731653

On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models

Fiorentini, Gabriele; Sentana, Enrique - Rimini Centre for Economic Analysis (RCEA) - 2007

We rank the efficiency of several likelihood-based parametric and semiparametric estimators of conditional mean and variance parameters in multivariate dynamic models with i.i.d. spherical innovations, and show that Gaussian pseudo maximum likelihood estimators are inefficient except under...

Persistent link: https://www.econbiz.de/10005091076

ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS

Sentana, Enrique; Fiorentini, Gabriele - Centro de Estudios Monetarios y Financieros (CEMFI) - 2007

Persistent link: https://www.econbiz.de/10005827090