Managing the risk of a financial assets portfolio with dependent data

Abstract

In the paper we develop the methods of minimum Value-at-Risk assets portfolio management based on asymptotic distribution of portfolio risk estimator assuming that the asset returns follow strictly stationary process that is are autocorrelated. For the purposes of risk planning the one-sided and two-sided confidence intervals are constructed and the significance test for difference between hypothetical and practical values of risk is described. In order to control the portfolio risk the method of control charts constructing is described and as an example we consider the Sheward control chart. Considered methods improve the process of portfolio risk management, allow better form the reserves and react on the market changes as soon as possible.