haku: @journal_id 1334 / yhteensä: 350
viite: 9 / 350
Tekijä:Durand, R. B.
Gould, J.
Maller, R.
Otsikko:On the performance of the minimum VaR portfolio
Lehti:European Journal of Finance
2011 : AUG-SEP, VOL. 17:7-8, p. 553-576
Asiasana:portfolio management
optimization
efficiency
value-at-risk
empirical research
data analysis
models
Vapaa asiasana:mean-variance efficiency
Fama-French portfolios
iShares
Kieli:eng
Tiivistelmä: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.
SCIMA tietueen numero: 274621
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