On optimal portfolio diversification with respect to extreme risks

Thumbnail
Metadata only
Autor(in)
Mainik, Georg
Rüschendorf, Ludger
Datum
2010
Typ
    Journal Article
Publikationsstatus
published
Externe Links
Zeitschrift / Serie
Finance and Stochastics
Band
14(4)
Seiten / Artikelnummer
593 - 623
Verlag
Springer
Thema
Portfolio optimization; Risk management; Diversification effects; Multivariate extremes
Organisationseinheit
03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)  
Anmerkungen
Received 28 April 2008, Accepted 3 February 2009, Published online 24 February 2010.
Mehr
Alle Metadaten anzeigen
ETH Bibliographie
yes
Altmetrics