Portfolio selection: An extreme value approach

Portfolio selection: An extreme value approach

We show theoretically that lower tail dependence (χ), a measure of the probability that a portfolio will suffer large losses given that the market does, contains important information for risk-averse investors. We then estimate χ for a sample of DJIA stocks and show that it differs systematically fr...

पूर्ण विवरण

ग्रंथसूची विवरण
मुख्य लेखकों:	DiTraglia, FJ, Gerlach, JR
स्वरूप:	Journal article
भाषा:	English
प्रकाशित:	Elsevier 2012

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