On the performance of the minimum VaR portfolio
MetadataShow full item record
Alexander and Baptista (2002) develop the concept of mean-VaR efficiency for portfolios and demonstrate 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. Our empirical analysis finds that, for commonly used VaR breach probabilities, minimum VaR portfolios yield ex post returns that conform 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.
Showing items related by title, author, creator and subject.
Pojanavatee, Sasipa (2013)Mutual funds are emerging as an opportunity for investors to automatically diversify their investments in such a way that all their money is pooled and the investment decisions are left to a professional manager. There ...
Yao, Juan (2004)This thesis involved an empirical investigation of the predictability of Australian industrial stock returns using a dynamic state-space framework. The systematic risks of industrial portfolios were examined in a stochastic ...
Two-way impact: Institutional e-learning policy/educator practices in creative arts through ePortfolio creationBlom, D.; Rowley, J.; Bennett, Dawn; Hitchcock, M.; Dunbar-Hall, P. (2013)While tertiary institutions in Australia are embracing e-learning and urging, or making compulsory, some use by academics, it is often the educators themselves who engage with innovative e-learning approaches. These ...