On optimal portfolio diversification with respect to extreme risks (Q650773): Difference between revisions

@@ Property / full work available at URL @@
-https://doi.org/10.1007/s00780-010-0122-z
-Normal rank
@@ Property / OpenAlex ID @@
-W2079791165
@@ Property / OpenAlex ID: W2079791165 / rank @@
-Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00780-010-0122-z
+Normal rank
@@ Property / OpenAlex ID @@
+W2079791165
@@ Property / OpenAlex ID: W2079791165 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Tail Behavior of Sums of Dependent Risks
@@ Property / cites work: On the Tail Behavior of Sums of Dependent Risks / rank @@
+Normal rank
@@ Property / cites work @@
+A characterization of multivariate regular variation.
+Normal rank
@@ Property / cites work @@
+Q4726487
@@ Property / cites work: Q4726487 / rank @@
+Normal rank
@@ Property / cites work @@
+Support theorems for the Radon transform and Cramér-Wold theorems
+Normal rank
@@ Property / cites work @@
+Tail estimates motivated by extreme value theory
@@ Property / cites work: Tail estimates motivated by extreme value theory / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theory for multivariate sample extremes
@@ Property / cites work: Limit theory for multivariate sample extremes / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating the limit distribution of multivariate extremes
+Normal rank
@@ Property / cites work @@
+Estimating the probability of a rare event
@@ Property / cites work: Estimating the probability of a rare event / rank @@
+Normal rank
@@ Property / cites work @@
+A moment estimator for the index of an extreme-value distribution
+Normal rank
@@ Property / cites work @@
+Refined Pickands estimators of the extreme value index
+Normal rank
@@ Property / cites work @@
+On maximum likelihood estimation of the extreme value index.
+Normal rank
@@ Property / cites work @@
+Estimating a multidimensional extreme-value distribution
+Normal rank
@@ Property / cites work @@
+Estimating the spectral measure of an extreme value distribution
+Normal rank
@@ Property / cites work @@
+Nonparametric estimation of the spectral measure of an extreme value distribution.
+Normal rank
@@ Property / cites work @@
+Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
+Normal rank
@@ Property / cites work @@
+Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
+Normal rank
@@ Property / cites work @@
+Q4324958
@@ Property / cites work: Q4324958 / rank @@
+Normal rank
@@ Property / cites work @@
+Elementary proofs of some basic facts concerning order statistics
+Normal rank
@@ Property / cites work @@
+A simple general approach to inference about the tail of a distribution
+Normal rank
@@ Property / cites work @@
+Regular variation for measures on metric spaces
@@ Property / cites work: Regular variation for measures on metric spaces / rank @@
+Normal rank
@@ Property / cites work @@
+Q4382161
@@ Property / cites work: Q4382161 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
+Normal rank
@@ Property / cites work @@
+Extreme Financial Risks
@@ Property / cites work: Extreme Financial Risks / rank @@
+Normal rank
@@ Property / cites work @@
+Q5706744
@@ Property / cites work: Q5706744 / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical inference using extreme order statistics
+Normal rank
@@ Property / cites work @@
+Q3667778
@@ Property / cites work: Q3667778 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3771297
@@ Property / cites work: Q3771297 / rank @@
+Normal rank
@@ Property / cites work @@
+The Extremal Dependence Measure and Asymptotic Independence
+Normal rank
@@ Property / cites work @@
+Non-parametric Estimation of Tail Dependence
@@ Property / cites work: Non-parametric Estimation of Tail Dependence / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating tails of probability distributions
@@ Property / cites work: Estimating tails of probability distributions / rank @@
+Normal rank
@@ Property / cites work @@
+Weak convergence and empirical processes. With applications to statistics
+Normal rank
@@ Property / cites work @@
+Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
+Normal rank