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...

In the paper, a finite sample test is suggested for detecting changes in the composition of the global minimum variance portfolio. The exact density of the test statistic is calculated. It appears that under the null hypothesis of no change, it is independent of the parameters of the asset...

In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e., the Markowitz mean–variance problem as well as the problems based on the mean–variance utility function and the quadratic utility. Conditions are derived under which the...