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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...
Persistent link: https://www.econbiz.de/10010896496
In this paper, we derive an exact test for a column of the covariance matrix. The test statistic is calculated by using a single observation. The exact distributions of the test statistic are derived under both the null and alternative hypotheses. We also obtain an analytical expression of the...
Persistent link: https://www.econbiz.de/10010846100
Persistent link: https://www.econbiz.de/10005756289