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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
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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

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