Backtesting Portfolio Value-at-Risk with Estimated Portfolio Weights

Preprint OPEN
Pei Pei;
(2010)
  • Subject:
    arxiv: Computer Science::Computational Engineering, Finance, and Science

This paper theoretically and empirically analyzes backtesting portfolio VaR with estimation risk in an intrinsically multivariate framework. For the first time in the literature, it takes into account the estimation of portfolio weights in forecasting portfolio VaR and ... View more
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