On optimal portfolio diversification with respect to extreme risks
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Cites work
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- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
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- A simple general approach to inference about the tail of a distribution
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- Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
- Elementary proofs of some basic facts concerning order statistics
- Estimating a multidimensional extreme-value distribution
- Estimating tails of probability distributions
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- Estimating the probability of a rare event
- Estimating the spectral measure of an extreme value distribution
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Cited in
(48)- Risk in a large claims insurance market with bipartite graph structure
- Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence
- Risk measures and multivariate extensions of Breiman's theorem
- Convolutions of heavy-tailed random variables and applications to portfolio diversification and \(\text{MA}(1)\) time series
- A limit distribution of credit portfolio losses with low default probabilities
- A note on asymptotic portfolio loss order of multivariate regularly varying risks
- Portfolio diversification and value at risk under thick-tailedness†
- Asymptotics for credit portfolio losses due to defaults in a multi-sector model
- Worst case portfolio vectors and diversification effects
- Diversification quotients based on VaR and ES
- How risky is the optimal portfolio which maximizes the Sharpe ratio?
- Toward a copula theory for multivariate regular variation
- Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses
- Diversification limit of quantiles under dependence uncertainty
- Worst-case-optimal dynamic reinsurance for large claims
- Empirical likelihood based testing for multivariate regular variation
- Ordering of multivariate risk models with respect to extreme portfolio losses
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- Simulating and calibrating diversification against black swans
- OPTIMAL NUMERAIRES FOR RISK MEASURES
- Estimation of the spectral measure from convex combinations of regularly varying random vectors
- Risk aggregation and stochastic dominance for a class of heavy-tailed distributions
- Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
- Operational risk quantified with spectral risk measures: a refined closed-form approximation
- Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
- AN EXTREME VALUE THEORY APPROACH TO THE ALLOCATION OF MULTIPLE ASSETS
- Interplay of insurance and financial risks in a stochastic environment
- Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
- Asymptotics of sum of heavy-tailed risks with copulas
- Asymptotic analysis of portfolio diversification
- Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
- Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks
- A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf
- Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3)
- Maximum likelihood estimation of elliptical tail
- Portfolio diversification under local and moderate deviations from power laws
- Second-order properties of risk concentrations without the condition of asymptotic smoothness
- Risk exchange under infinite-mean Pareto models
- The effect of aggregation on extremes from asymptotically independent light-tailed risks
- Naive versus optimal diversification: tail risk and performance
- Estimating asymptotic dependence functionals in multivariate regularly varying models
- Estimation of the tail exponent of multivariate regular variation
- Bounds on total economic capital: the DNB case study
- Determining and Allocating Diversification Benefits for a Portfolio of Risks
- Testing the Multivariate Regular Variation Model
- Robust bounds in multivariate extremes
- On asymptotic diversification effects for heavy-tailed risks.
- Risk concentration of aggregated dependent risks: the second-order properties
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