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...
| Autores principales: | , |
|---|---|
| Formato: | Journal article |
| Lenguaje: | English |
| Publicado: |
Elsevier
2012
|