Efficient Portfolio Analysis Using Distortion Risk Measures

Christian Gourieroux and Wei Liu
Additional contact information
Wei Liu: Crest

No 2006-17, Working Papers from Center for Research in Economics and Statistics

Abstract: We introduce nonparametric estimators of the sensitivity of distortion risk measure with re-spect to portfolio allocation. These estimators are used to derive the estimated e±cient portfolioallocations when distortion risk measures de¯ne the constraints and the objectives, to study theirasymptotic distributional properties, and to construct tests for the hypothesis of portfolio e±ciency.

Pages: 33
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://crest.science/RePEc/wpstorage/2006-17.pdf Crest working paper version (application/pdf)

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:crs:wpaper:2006-17

Access Statistics for this paper

More papers in Working Papers from Center for Research in Economics and Statistics Contact information at EDIRC.
Bibliographic data for series maintained by Secretariat General () and Murielle Jules Maintainer-Email : murielle.jules@ensae.Fr.