On optimal portfolio diversification with respect to extreme risks

DOI10.1007/S00780-010-0122-ZzbMath1226.91069OpenAlexW2079791165MaRDI QIDQ650773

Georg Mainik, Ludger Rüschendorf

Publication date: 27 November 2011

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-010-0122-z

zbMATH Keywords

multivariate extremesportfolio optimizationrisk managementdiversification effects

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Portfolio theory (91G10)

Related Items (25)

Risk Measures and Multivariate Extensions of Breiman's Theorem ⋮ Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return ⋮ Risk in a Large Claims Insurance Market with Bipartite Graph Structure ⋮ Worst-case-optimal dynamic reinsurance for large claims ⋮ Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims ⋮ Asymptotic analysis of portfolio diversification ⋮ Estimation of the tail exponent of multivariate regular variation ⋮ A limit distribution of credit portfolio losses with low default probabilities ⋮ Ordering of multivariate risk models with respect to extreme portfolio losses ⋮ Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence ⋮ Multivariate extremes and the aggregation of dependent risks: examples and counter-examples ⋮ Diversification quotients based on VaR and ES ⋮ Risk concentration of aggregated dependent risks: the second-order properties ⋮ Estimating asymptotic dependence functionals in multivariate regularly varying models ⋮ Asymptotics of sum of heavy-tailed risks with copulas ⋮ Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses ⋮ A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf ⋮ Robust bounds in multivariate extremes ⋮ Interplay of insurance and financial risks in a stochastic environment ⋮ Second-order properties of risk concentrations without the condition of asymptotic smoothness ⋮ Bounds on total economic capital: the DNB case study ⋮ Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3) ⋮ Financial risk measures for a network of individual agents holding portfolios of light-tailed objects ⋮ Operational risk quantified with spectral risk measures: a refined closed-form approximation ⋮ Toward a Copula Theory for Multivariate Regular Variation

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
• Estimating a multidimensional extreme-value distribution
• Tail estimates motivated by extreme value theory
• Support theorems for the Radon transform and Cramér-Wold theorems
• A moment estimator for the index of an extreme-value distribution
• Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
• Estimating tails of probability distributions
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• Estimating the spectral measure of an extreme value distribution
• Nonparametric estimation of the spectral measure of an extreme value distribution.
• A characterization of multivariate regular variation.
• On maximum likelihood estimation of the extreme value index.
• Weak convergence and empirical processes. With applications to statistics
• Refined Pickands estimators of the extreme value index
• Estimating the probability of a rare event
• The Extremal Dependence Measure and Asymptotic Independence
• Extreme Financial Risks
• Non-parametric Estimation of Tail Dependence
• Regular variation for measures on metric spaces
• On the Tail Behavior of Sums of Dependent Risks
• Estimating the limit distribution of multivariate extremes
• Limit theory for multivariate sample extremes
• Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
• The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
• Elementary proofs of some basic facts concerning order statistics

This page was built for publication: On optimal portfolio diversification with respect to extreme risks