Stochastic Properties of a Risk Metrics Estimator in the Portfolio Management under Alternative Distributions
نویسندگان
چکیده
Assuming elliptically contoured distribution for portfolio asset returns, we derive the exact marginal and joint densities of the global minimum variance portfolio variance, and weights estimators. We also construct a test for the hypothesis that the global minimum variance is less then or equal to a certain value. A stochastic representation and moments of its estimator is provided. We illustrate our results empirically by applying vector elliptical contoured matrix distributions in modelling daily stock returns data. JEL Classification: C16, C52, G11,G12,G15
منابع مشابه
Using Genetic Algorithm in Solving Stochastic Programming for Multi-Objective Portfolio Selection in Tehran Stock Exchange
Investor decision making has always been affected by two factors: risk and returns. Considering risk, the investor expects an acceptable return on the investment decision horizon. Accordingly, defining goals and constraints for each investor can have unique prioritization. This paper develops several approaches to multi criteria portfolio optimization. The maximization of stock returns, the pow...
متن کاملA Defined Benefit Pension Fund ALM Model through Multistage Stochastic Programming
We consider an asset-liability management (ALM) problem for a defined benefit pension fund (PF). The PF manager is assumed to follow a maximal fund valuation problem facing an extended set of risk factors: due to the longevity of the PF members, the inflation affecting salaries in real terms and future incomes, interest rates and market factors affecting jointly the PF liability and asset p...
متن کاملAn economic-risk analysis of alternative rotations by stochastic simulation in Fars province
ABSTRACT - Cultivation of legumes in crop rotations results in atmosphere nitrogen fixation. After harvesting, part of this external nitrogen remains in soil and is used by subsequent crops. This implies that producers would gain from lowering the amount of nitrogen fertilizer in their fields. In this study, stochastic simulation is used to generate probability distributions of net present valu...
متن کاملMulti-period project portfolio selection under risk considerations and stochastic income
This paper deals with multi-period project portfolio selection problem. In this problem, the available budget is invested on the best portfolio of projects in each period such that the net profit is maximized. We also consider more realistic assumptions to cover wider range of applications than those reported in previous studies. A novel mathematical model is presented to solve the problem, con...
متن کاملThe Current Models of Credit Portfolio Management: A Comparative Theoretical Analysis
The present paper aimed at studying the current models of credit portfolio management. There are currently three types of models which consider the risk of credit portfolio: the structural models (Moody's KMV model, and Credit- Metrics model), the intensity models (the actuarial models) and the econometric models (the Macro-factors model). The development of these three types of models is based...
متن کامل