Probabilistic Analysis of Beta-Coefficient Sample Estimator for Minimum Value-at-Risk Portfolio
Valdemar Vitlinskyi,
Mykola Zabolotskyy,
Taras Zabolotskyy
et al.
Abstract:The problems of financial assets portfolio beta-coefficient diversification and evaluation play an important role among aspects of risk management in the financial institutions activities. The paper is dedicated to statistical properties of the sample estimator of the financial assets minimum Value-at-Risk portfolio beta-coefficient. We assume that the weights of the portfolio benchmark are constant and the vector of portfolio assets returns is multivariate normally distributed. We find an analytical expressio… Show more
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