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Efficient Portfolio Analysis Using Distortion Risk Measures

By Christian Gourieroux and Wei Liu

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.

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