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...
| Hoofdauteurs: | , |
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| Formaat: | Journal article |
| Taal: | English |
| Gepubliceerd in: |
Elsevier
2012
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