8 search results - page 1 / 2 » On optimal portfolio diversification with respect to extreme... |
FS
2010
13 years 1 months ago
2010
Extreme losses of portfolios with heavy-tailed components are studied in the framework of multivariate regular variation. Asymptotic distributions of extreme portfolio losses are ...
CISS
2008
IEEE
13 years 6 months ago
2008
IEEE
Abstract-- Successful investment management relies on allocating assets so as to beat the stock market. Asset classes are affected by different market dynamics or latent trends. Th...
EUSFLAT
2009
13 years 2 months ago
2009
Abstract-- A portfolio model to minimize the risk of falling under uncertainty is discussed. The risk of falling is represented by the value-at-risk of rate of return. Introducing ...
HICSS
2008
IEEE
13 years 11 months ago
2008
IEEE
“Don’t put all your eggs in one basket” is common wisdom with respect to financial portfolio theory. The configuration of customer portfolios with regard to appropriate risk...
GECCO
2008
Springer
13 years 5 months ago
2008
Springer
Investors vary with respect to their expected return and aversion to associated risk, and hence also vary in their performance expectations of the stock market portfolios they hol...