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| Author: | Durand, R. B. Gould, J. Maller, R. |
| Title: | On the performance of the minimum VaR portfolio |
| Journal: | European Journal of Finance
2011 : AUG-SEP, VOL. 17:7-8, p. 553-576 |
| Index terms: | portfolio management optimization efficiency value-at-risk empirical research data analysis models |
| Freeterms: | mean-variance efficiency Fama-French portfolios iShares |
| Language: | eng |
| Abstract: | Alexander and Baptista [in: Economic implications of using a mean-value-at-risk (VaR) model for portfolio selection: A comparison with mean–variance analysis, published in: Journal of Economic Dynamics and Control (2002) vol. 26: p. 1159-93] develop the concept of mean-VaR efficiency for portfolios, demonstrating its very close connection with mean-variance efficiency. In particular, they identify the minimum VaR portfolio as a special type of mean-variance efficient portfolio. This study's empirical analysis finds that, for commonly used VaR breach probabilities, minimum VaR portfolios yield ex-post returns conforming well with the specified VaR breach probabilities and with return/risk expectations. These results provide a considerable extension of evidence supporting the empirical validity and tractability of the mean-VaR efficiency concept. |
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