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On optimal portfolio diversification with respect to extreme risks

9 years 5 months ago
On optimal portfolio diversification with respect to extreme risks
Extreme losses of portfolios with heavy-tailed components are studied in the framework of multivariate regular variation. Asymptotic distributions of extreme portfolio losses are characterized by a functional = (, ) of the tail index , the spectral measure , and the vector of portfolio weights. Existence, uniqueness, and location of the optimal portfolio are analysed and applied to the minimization of risk measures. It is shown that diversification effects are positive
Georg Mainik, Ludger Rüschendorf
Added 02 Mar 2011
Updated 02 Mar 2011
Type Journal
Year 2010
Where FS
Authors Georg Mainik, Ludger Rüschendorf
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