Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets

DOI10.1142/S0219024998000035zbMath0908.90056WikidataQ57668047 ScholiaQ57668047MaRDI QIDQ4216098

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Publication date: 22 November 1998

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

fat tailsasset allocationtails of distributions

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (9)

GOE statistics for Lévy matrices ⋮ A LARGE DEVIATION APPROACH TO PORTFOLIO MANAGEMENT ⋮ ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL ⋮ Universal characteristics of fractal fluctuations in prime number distribution ⋮ Value-at-Risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions ⋮ A testable version of the Pareto-Stable CAPM ⋮ The Kalman-Lévy filter ⋮ Eigenvector statistics of Lévy matrices ⋮ A Novel Asymmetric Distribution with Power Tails

Cites Work

• The Pricing of Options and Corporate Liabilities
• Estimating the stable index \(\alpha\) in order to measure tail thickness: a critique
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• Portfolio Analysis in a Stable Paretian Market
• Life Testing

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