How effective is the tail mean-variance model in the fund of fund selection? An empirical study using various risk measures

Qiyu Wang, Wenli Huang, Xin Wu and Chao Zhang

Finance Research Letters, 2019, vol. 29, issue C, 239-244

Abstract: 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)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612318301466
Full text for ScienceDirect subscribers only

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:eee:finlet:v:29:y:2019:i:c:p:239-244

DOI: 10.1016/j.frl.2018.08.012

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().