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Minimum VaR and minimum CvaR optimal portfolios : the case of singular covariance matrix

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This paper examines optimal portfolio selection using quantile-based risk measures such as Valueat-Risk (VaR) and Conditional Value-at-Risk (CVaR). We address the case of a singular covariance matrix of asset returns, which leads to an optimization problem with infinitely many solutions. An...

Persistent link: https://www.econbiz.de/10015084447

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extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models …This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an … Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …

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Crude oil hedging strategies using dynamic multivariate GARCH

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Singular conditional autoregressive Wishart model for realized covariance matrices

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The contribution of frictions to expected returns

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We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...

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Small caps in international equity portfolios : the effects of variance risk

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Model selection and testing of conditional and stochastic volatility models

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Modelling and forecasting noisy realized volatility

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