Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz
Metadata only
Datum
2015-06Typ
- Journal Article
ETH Bibliographie
yes
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Publikationsstatus
publishedExterne Links
Zeitschrift / Serie
Journal of Empirical FinanceBand
Seiten / Artikelnummer
Verlag
ElsevierThema
Portfolio optimization; Heavy tails; Tail risk; Extreme Risk Index; Extreme value theory; Financial crisisAnmerkungen
Received 17 October 2013, Received in revised form 7 January 2015, Accepted 13 March 2015, Published online 21 March 2015.ETH Bibliographie
yes
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