Photo from wikipedia
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… Click to show full abstract
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;
mean variance;
risk;
risk measures;
fund fund;
fund
Journal Title: Finance Research Letters
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!
Journal Title: Finance Research Letters
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!