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On the performance of the minimum VaR portfolio

Durand, Robert; Gould, John; Maller, Ross

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Alexander and Baptista [2002. Economic implications of using a mean-value-at-risk (VaR) model for portfolio selection: A comparison with mean-variance analysis. Journal of Economic Dynamics and Control 26: 1159-93] develop the concept of mean-VaR efficiency for portfolios and demonstrate its very close connection with mean-variance efficiency. In particular, they identify the minimum VaR portfolio as a special type of mean-variance efficient portfolio. Our empirical analysis finds that, for...[Show more]

dc.contributor.authorDurand, Robert
dc.contributor.authorGould, John
dc.contributor.authorMaller, Ross
dc.date.accessioned2015-12-10T22:27:00Z
dc.identifier.issn1466-4364
dc.identifier.urihttp://hdl.handle.net/1885/54012
dc.description.abstractAlexander and Baptista [2002. Economic implications of using a mean-value-at-risk (VaR) model for portfolio selection: A comparison with mean-variance analysis. Journal of Economic Dynamics and Control 26: 1159-93] develop the concept of mean-VaR efficiency for portfolios and demonstrate its very close connection with mean-variance efficiency. In particular, they identify the minimum VaR portfolio as a special type of mean-variance efficient portfolio. Our empirical analysis finds that, for commonly used VaR breach probabilities, minimum VaR portfolios yield ex post returns that conform well with the specified VaR breach probabilities and with return/risk expectations. These results provide a considerable extension of evidence supporting the empirical validity and tractability of the mean-VaR efficiency concept.
dc.publisherRoutledge, Taylor & Francis Group
dc.sourceEuropean Journal of Finance, The
dc.subjectKeywords: Fama-french portfolios; Ishares; Mean-variance efficiency; Portfolio optimization; Value-at-risk
dc.titleOn the performance of the minimum VaR portfolio
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume17
dc.date.issued2011
local.identifier.absfor150201 - Finance
local.identifier.ariespublicationf5625xPUB289
local.type.statusPublished Version
local.contributor.affiliationDurand, Robert, Curtin University
local.contributor.affiliationGould, John, Curtin University
local.contributor.affiliationMaller, Ross, College of Business and Economics, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.issue7
local.bibliographicCitation.startpage553
local.bibliographicCitation.lastpage576
local.identifier.doi10.1080/1351847X.2010.495484
dc.date.updated2016-02-24T09:03:21Z
local.identifier.scopusID2-s2.0-79960937003
local.identifier.thomsonID000299815100006
CollectionsANU Research Publications

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