Portfolio Optimization for Extreme Risks with Maximum Diversification: An Empirical Analysis
Heavy tailedness and interconnectedness widely exist in stock returns and large insurance claims, which contributes to huge losses for financial institutions. Diversification ratio (DR) measures the degree of diversification using the Value-at-Risk, which is known to capture extreme risks better tha...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-05-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/10/5/101 |