On the performance of the minimum VaR portfolio
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...
| Main Authors: | , , |
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| Format: | Journal Article |
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Routledge
2010
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| Online Access: | http://hdl.handle.net/20.500.11937/27430 |
| _version_ | 1848752261610602496 |
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| author | Durand, Robert Gould, John Maller, R. |
| author_facet | Durand, Robert Gould, John Maller, R. |
| author_sort | Durand, Robert |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T08:05:49Z |
| format | Journal Article |
| id | curtin-20.500.11937-27430 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:05:49Z |
| publishDate | 2010 |
| publisher | Routledge |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-274302017-09-13T15:51:04Z On the performance of the minimum VaR portfolio Durand, Robert Gould, John Maller, R. value-at-risk iShares mean-variance efficiency portfolio optimization Fama-French portfolios 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. 2010 Journal Article http://hdl.handle.net/20.500.11937/27430 10.1080/1351847X.2010.495484 Routledge fulltext |
| spellingShingle | value-at-risk iShares mean-variance efficiency portfolio optimization Fama-French portfolios Durand, Robert Gould, John Maller, R. On the performance of the minimum VaR portfolio |
| title | On the performance of the minimum VaR portfolio |
| title_full | On the performance of the minimum VaR portfolio |
| title_fullStr | On the performance of the minimum VaR portfolio |
| title_full_unstemmed | On the performance of the minimum VaR portfolio |
| title_short | On the performance of the minimum VaR portfolio |
| title_sort | on the performance of the minimum var portfolio |
| topic | value-at-risk iShares mean-variance efficiency portfolio optimization Fama-French portfolios |
| url | http://hdl.handle.net/20.500.11937/27430 |