基于l -评论矩阵的投资组合风险价值估计与检验

Risk and Insurance/Measures and Control Pub Date : 2009-08-24 DOI:10.2139/ssrn.1460771

Wei‐han Liu

{"title":"基于l -评论矩阵的投资组合风险价值估计与检验","authors":"Wei‐han Liu","doi":"10.2139/ssrn.1460771","DOIUrl":null,"url":null,"abstract":"This study employs L‐comoments introduced by Serfling and Xiao (2007) into portfolio Value‐at‐Risk estimation through two models: the Cornish–Fisher expansion (Draper, N. R. & Tierney, D. E., 1973) and modified VaR (Zangari, P., 1996). Backtesting outcomes indicate that modified VaR outperforms and L‐comoments give better estimates of portfolio skewness and excess kurtosis than do classical central moments in modeling heavy‐tailed distributions. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:897–908, 2010","PeriodicalId":351504,"journal":{"name":"Risk and Insurance/Measures and Control","volume":"38 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2009-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":"{\"title\":\"Estimation and Testing of Portfolio Value-at-Risk Based on L-Comoment Matrices\",\"authors\":\"Wei‐han Liu\",\"doi\":\"10.2139/ssrn.1460771\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This study employs L‐comoments introduced by Serfling and Xiao (2007) into portfolio Value‐at‐Risk estimation through two models: the Cornish–Fisher expansion (Draper, N. R. & Tierney, D. E., 1973) and modified VaR (Zangari, P., 1996). Backtesting outcomes indicate that modified VaR outperforms and L‐comoments give better estimates of portfolio skewness and excess kurtosis than do classical central moments in modeling heavy‐tailed distributions. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:897–908, 2010\",\"PeriodicalId\":351504,\"journal\":{\"name\":\"Risk and Insurance/Measures and Control\",\"volume\":\"38 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2009-08-24\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"6\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Risk and Insurance/Measures and Control\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1460771\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Risk and Insurance/Measures and Control","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1460771","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 6

摘要

本研究将Serfling和Xiao(2007)引入的L -评论引入到投资组合的风险价值估计中，通过两个模型:Cornish-Fisher展开(Draper, N. R. & Tierney, D. E.， 1973)和修正VaR (Zangari, P.， 1996)。回溯检验结果表明，在重尾分布建模中，修正VaR优于和L -评论比经典中心矩能更好地估计投资组合偏度和过量峰度。©2009 Wiley期刊公司[j] .中华医学杂志，2010:897 - 908

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Estimation and Testing of Portfolio Value-at-Risk Based on L-Comoment Matrices

This study employs L‐comoments introduced by Serfling and Xiao (2007) into portfolio Value‐at‐Risk estimation through two models: the Cornish–Fisher expansion (Draper, N. R. & Tierney, D. E., 1973) and modified VaR (Zangari, P., 1996). Backtesting outcomes indicate that modified VaR outperforms and L‐comoments give better estimates of portfolio skewness and excess kurtosis than do classical central moments in modeling heavy‐tailed distributions. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:897–908, 2010

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Risk and Insurance/Measures and Control

自引率

0.00%

发文量