Portfolio Selection with Time-Varying Value-at-Risk

Erick W. Rengifo and Jeroen V. K. Rombouts

Chapter 9 in Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, 2011, pp 213-234 from Palgrave Macmillan

Abstract: Abstract We propose a portfolio-selection model that maximizes expected returns subject to a time-varying value-at-risk constraint. The model allows for time-varying skewness and kurtosis of portfolio distributions estimating the model parameters by weighted maximum likelihood in an increasing-window setup. We determine the best daily investment recommendations in terms of percentage to borrow or lend and the optimal weights of the assets in a risky portfolio. An empirical application illustrates in an out-of-sample context which models are preferred from a statistical and economic point of view.

Keywords: Optimal Portfolio; Portfolio Selection; GARCH Model; Portfolio Return; Innovation Distribution (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-29810-1_9

Ordering information: This item can be ordered from
http://www.palgrave.com/9780230298101

DOI: 10.1057/9780230298101_9

Access Statistics for this chapter

More chapters in Palgrave Macmillan Books from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().