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A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models

Scott, Alexandre; Metzler, Adam - In: Insurance / Mathematics & economics 64 (2015), pp. 279-293

Persistent link: https://www.econbiz.de/10011398073

Portfolio return distributions : sample statistics with stochastic correlations

Chetalova, Desislava; Schmitt, Thilo A.; Schäfer, Rudi; … - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10011403228

Asymptotic Distribution of the Sample Average Value-at-Risk in the Case of Heavy-Tailed Returns

Stoyanov, Stoyan V. - 2010

In this paper, we provide a stable limit theorem for the asymptotic distribution of the sample average value-at-risk when the distribution of the underlying random variable X describing portfolio returns is heavy-tailed. We illustrate the convergence rate in the limit theorem assuming that X has...

Persistent link: https://www.econbiz.de/10013134876

International portfolio allocation : the role of conditional higher moments

Trung Hai Le - In: International review of economics & finance : IREF 74 (2021), pp. 33-57

Persistent link: https://www.econbiz.de/10012792935

Importance sampling in the presence of PD-LGD correlation

Metzler, Adam; Scott, Alexandre - In: Risks : open access journal 8 (2020) 1/25, pp. 1-36

This paper seeks to identify computationally efficient importance sampling (IS) algorithms for estimating large … importance sampling to estimate large deviation probabilities in those models. Numerical evidence indicates that the proposed …

Persistent link: https://www.econbiz.de/10012203783

The Distribution of Sample Mean-Variance Portfolio Weights

Kan, Raymond; Lassance, Nathan; Wang, Xiaolu - 2023

useful for sampling observations efficiently, deriving moments in closed-form, and studying the distribution and performance … estimators. Our results extend upon [T. Bodnar, H. Dette, N. Parolya and E. Thorstén, Sampling distributions of optimal portfolio … weights and characteristics in low and large dimensions, Random Matrices: Theory Appl. 11 (2022)] …

Persistent link: https://www.econbiz.de/10014350484