The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to quantify extreme losses. In this paper we present empirical evidence from assessing the out-of-sample performance and robustness of VaR before and during the recent financial crisis...

This paper analyzes the estimation risk of efficient portfolio selection. We use the concept of certainty equivalent as the basis for a well-defined statistical loss function and a monetary measure to assess estimation risk. For given risk preferences we provide analytical results for different...