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
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
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DOI：
10.1007/s00184-013-0432-1
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发表时间：
2013-11-01
期刊：
影响因子：
0.7
通讯作者：
Zabolotskyy, Taras
中科院分区：
文献类型：
--
作者：
Bodnar, Taras;Schmid, Wolfgang;Zabolotskyy, Taras
在本文中，假设资产收益遵循严格平稳过程，我们推导出最小风险价值投资组合和最小条件风险价值投资组合的估计权重和估计绩效度量的渐进分布。证明了估计的权重以及估计的性能指标是渐近多元正态分布的。我们还提出了一个渐近检验的权重和两个投资组合的特征的联合检验。此外，估计的性能指标的渐近密度与相应的精确密度进行比较。结果表明，渐近近似执行良好，即使是中等样本量。
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 that the estimated weights as well as the estimated performance measures are asymptotically multivariate normally distributed. We also present an asymptotic test for the weights and a joint test for the characteristics of both portfolios. Moreover, the asymptotic densities of the estimated performance measures are compared with the corresponding exact densities. It is shown that the asymptotic approximation performs well even for the moderate sample size.