Robust value-at-risk: an information-theoretic approach
We present a robust value-at-risk model that takes into account the possibility of model misspecification. In place of a single prior distribution, we utilize multiple priors in the form of an 'uncertainty set' around the estimated expected returns and covariance matrix, constructed using the information-theoretic notion of Kullback-Leibler divergence. An extension to conditional value-at-risk is also specified.
Year of publication: |
2010
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Authors: | Simonian, Joseph ; Davis, Josh |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 17.2010, 16, p. 1551-1553
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Publisher: |
Taylor & Francis Journals |
Saved in:
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