Santos, A.A.P.

portfolio var violations return model number capital violation covariance capital requirements requirement covariance matrix mcr portfolios matrix level min-var stress performance scenario 0.00 result sharpe ratio estimate speci asset journal portfolio weights transaction costs sharpe fication strategy period ratio stress scenarios var estimates basel ii accord basel problem correlation / journal mcr strategy market futures portfolio min-svar turnover benchmark industry portfolios approach finance target table function target return portfolio return future objective function banking 1/ n portfolio transaction optimization weight optimization problem value benchmark portfolios var exceedances min-var portfolio restriction capital requirement levels 250 trading days trading observation deviation industry sample covariance matrix 0.01 constraint portfolio turnover speci fications parameter shrinkage estimator portfolio returns