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Quantile approximations in auto-regressive portfolio models

✍ Scribed by Aleš Ahčan; Igor Masten; Sašo Polanec; Mihael Perman

Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
255 KB
Volume
235
Category
Article
ISSN
0377-0427

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✦ Synopsis

This paper develops an analytical approximation for the distribution function of a terminal value of a periodic series of buy-and-hold investments placed over a fixed time horizon for the case when log-returns of assets follow a p-th order vector auto-regressive process. The derivation is based on a first order Taylor conditioned approximation with a suitably chosen conditioning variable. The results indicate a remarkably good fit between the approximating procedure and simulations based on realistic parameters.

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