摘要翻译：
为了估计投资组合收益的条件风险，可以提倡两种策略。多元策略要求估计风险因素向量的动态模型，这对于大型投资组合来说往往是一个挑战。基于投资组合收益动态模型的单变量方法似乎更有吸引力。然而，当单个收益率的组合是时变的时，投资组合的收益率序列通常是非平稳的，这可能会使统计推断失效。另一种方法是重构一个“虚拟投资组合”，其收益是利用投资组合的当前组成建立的，并可以对其进行平稳的动态模型估计。本文建立了这种方法的渐近性质，我们称之为虚拟历史模拟。给出了模拟数据和实际数据的数值图解。
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英文标题：
《Virtual Historical Simulation for estimating the conditional VaR of
  large portfolios》
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作者：
Christian Francq and Jean-Michel Zakoian
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最新提交年份：
2019
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分类信息：

一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Mathematics        数学
二级分类：Statistics Theory        统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Statistics        统计学
二级分类：Statistics Theory        统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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英文摘要：
  In order to estimate the conditional risk of a portfolio's return, two strategies can be advocated. A multivariate strategy requires estimating a dynamic model for the vector of risk factors, which is often challenging, when at all possible, for large portfolios. A univariate approach based on a dynamic model for the portfolio's return seems more attractive. However, when the combination of the individual returns is time varying, the portfolio's return series is typically non stationary which may invalidate statistical inference. An alternative approach consists in reconstituting a "virtual portfolio", whose returns are built using the current composition of the portfolio and for which a stationary dynamic model can be estimated.   This paper establishes the asymptotic properties of this method, that we call Virtual Historical Simulation. Numerical illustrations on simulated and real data are provided.
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PDF链接：
https://arxiv.org/pdf/1909.04661