In this paper, we provide a stable limit theorem for the asymptotic distribution of the sample average value-at-risk …

The catastrophic failures of risk management systems in 2008 bring to the forefront the need for accurate and flexible … estimators of market risk. Despite advances in the theory and practice of evaluating risk, existing measures are notoriously poor … extreme value theory (EVT) to propose a multivariate estimation procedure for value-at-risk (VaR) and expected shortfall (ES …

. Based on the empirical evidence presented in this paper, our framework offers more realistic portfolio risk measures and a … more tractable method for portfolio optimization. -- portfolio risk ; portfolio optimization ; portfolio budgeting …

This paper deals with the estimation of portfolio returns and Value at Risk (VaR), by using a class of Gaussian mixture …