Portfolio selection is an important issue in finance and it involves the balance between risk and return. This paper investigates portfolio selection under Mean-CVa R model in a nonparametric framework with α-mixing ...Portfolio selection is an important issue in finance and it involves the balance between risk and return. This paper investigates portfolio selection under Mean-CVa R model in a nonparametric framework with α-mixing data as financial data tends to be dependent. Many works have provided some insight into the performance of portfolio selection from the aspects of data and simulation while in this paper we concentrate on the asymptotic behaviors of the optimal solutions and risk estimation in theory.展开更多
基金Supported by the Fundamental Research Funds for the Central UniversitiesMajor Project of the National Social Science Foundation of China(13&ZD163)Zhejiang Provincial Natural Science Foundation(LY13A010001 and LY17A010016)
文摘Portfolio selection is an important issue in finance and it involves the balance between risk and return. This paper investigates portfolio selection under Mean-CVa R model in a nonparametric framework with α-mixing data as financial data tends to be dependent. Many works have provided some insight into the performance of portfolio selection from the aspects of data and simulation while in this paper we concentrate on the asymptotic behaviors of the optimal solutions and risk estimation in theory.
