Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz
METADATA ONLY
Loading...
Author / Producer
Date
2015-06
Publication Type
Journal Article
ETH Bibliography
yes
Citations
Altmetric
METADATA ONLY
Data
Rights / License
Permanent link
Publication status
published
External links
Editor
Book title
Journal / series
Volume
32
Pages / Article No.
115 - 134
Publisher
Elsevier
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Portfolio optimization; Heavy tails; Tail risk; Extreme Risk Index; Extreme value theory; Financial crisis
Organisational unit
Notes
Received 17 October 2013, Received in revised form 7 January 2015, Accepted 13 March 2015, Published online 21 March 2015.