AN EXTREME VALUE THEORY APPROACH TO THE ALLOCATION OF MULTIPLE ASSETS

DOI10.1142/S0219024904002815MaRDI QIDQ4658677zbMATH OpenFDO

Authors Brendan O. Bradley, Murad S. Taqqu

Publication date 18 March 2005

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

zbMATH Keywords

extreme value theorycatastrophic risksmultiple asset allocationStructure variable method

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Resource and cost allocation (including fair division, apportionment, etc.) (91B32)

Recommendations

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Cites work

• A simple general approach to inference about the tail of a distribution
• Dependence measures for extreme value analyses
• Extreme order statistics with cost of sampling
• On the density of scattered translates of the general multiquadric in \(C([a,b])\)
• Residual life time at great age
• Safety First and the Holding of Assets
• Sur la distribution limite du terme maximum d'une série aléatoire

Cited in

(5)

• Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods
• ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL
• Value-at-risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions
• Portfolio risk assessment using multivariate extreme value methods
• On optimal portfolio diversification with respect to extreme risks

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