How effective is the tail mean-variance model in the fund of fund selection? An empirical study using various risk measures
Xin Wu and
Finance Research Letters, 2019, vol. 29, issue C, 239-244
In this paper, we study the tail mean-variance (TMV) model, which incorporates variation and tail risks and allocates the capital corresponding to the asset’s risk, by using several risk measures including the Value-at-Risk (VaR) and a non-linear weighted (NLW) risk measures. We also use a 5-fold cross-validation algorithm and carry out empirical investigations. We find out that the VaR-measured TMV fund of fund dominates all the other funds of fund using several Chinese funds and US’ funds.
Keywords: Tail mean-variance model; Risk measure; Cross-validation (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:29:y:2019:i:c:p:239-244
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