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Efficient Portfolio Analysis Using Distortion Risk Measures

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  • Christian Gourieroux

    (Crest)

  • Wei Liu

    (Crest)

Abstract

We introduce nonparametric estimators of the sensitivity of distortion risk measure with re-spect to portfolio allocation. These estimators are used to derive the estimated e±cient portfolioallocations when distortion risk measures de¯ne the constraints and the objectives, to study theirasymptotic distributional properties, and to construct tests for the hypothesis of portfolio e±ciency.

Suggested Citation

  • Christian Gourieroux & Wei Liu, 2006. "Efficient Portfolio Analysis Using Distortion Risk Measures," Working Papers 2006-17, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2006-17
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    References listed on IDEAS

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    11. Fermanian, Jean-David & Scaillet, Olivier, 2005. "Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 927-958, April.
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    Cited by:

    1. Alfred Galichon, 2010. "The Var At Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(04), pages 503-506.
    2. Adam, Alexandre & Houkari, Mohamed & Laurent, Jean-Paul, 2008. "Spectral risk measures and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1870-1882, September.

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