Abstract
Abstract In this paper, we consider the sample estimators for the expected return, the variance, the value-at-risk (VaR), and the conditional VaR (CVaR) of the minimum VaR and the minimum CVaR portfolio. Their exact distributions are derived. These expressions are used for studying the distributional properties of the estimated characteristics. We prove that the expectation does not exist for the estimated variance, while the second moment does not exist for the estimated expected return. Moreover, expressions for the joint densities and the corresponding dependence measures between the estimators for the expected return and the variance as well as between the estimated expected return and the estimated VaR (CVaR) are derived. Finally, we present a confidence region for the minimum VaR portfolio and the minimum CVaR portfolio in the mean-variance space as well as in the mean-VaR (mean-CVaR) space. The obtained results are illustrated in an empirical study throughout the paper.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.