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    On the performance of the minimum VaR portfolio

    151189_151189.pdf (825.8Kb)
    Access Status
    Open access
    Authors
    Durand, Robert
    Gould, John
    Maller, R.
    Date
    2010
    Type
    Journal Article
    
    Metadata
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    Citation
    Durand, Robert B. and Gould, John and Maller, Ross. 2010. On the performance of the minimum VaR portfolio. The European Journal of Finance iFirst: pp. 1-24.
    Source Title
    The European Journal of Finance
    DOI
    10.1080/1351847X.2010.495484
    ISSN
    1351-847X
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/27430
    Collection
    • Curtin Research Publications
    Abstract

    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.

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