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Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data

Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Taras - In: Metrika 76 (2013) 8, pp. 1105-1134

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...

Persistent link: https://www.econbiz.de/10010896496

Statistical inference of the efficient frontier for dependent asset returns

Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Taras - In: Statistical Papers 50 (2009) 3, pp. 593-604

Persistent link: https://www.econbiz.de/10004966069

Statistical inference for the beta coefficient

Bodnar, Taras; Gupta, Arjun K.; Vitlinskyi, Valdemar; … - In: Risks 7 (2019) 2, pp. 1-14

The beta coefficient plays a crucial role in finance as a risk measure of a portfolio in comparison to the benchmark portfolio. In the paper, we investigate statistical properties of the sample estimator for the beta coefficient. Assuming that both the holding portfolio and the benchmark...

Persistent link: https://www.econbiz.de/10013200474