Simulating and calibrating diversification against black swans

DOI10.1016/j.jedc.2012.03.007zbMath1345.91071OpenAlexW1991178232MaRDI QIDQ310955

Namwon Hyung, Casper G. de Vries

Publication date: 28 September 2016

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2012.03.007

zbMATH Keywords

heavy tailscalibrationdownside riskportfolio diversification

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Cites Work

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• Portfolio diversification and value at risk under thick-tailedness†
• Safety First and the Holding of Assets