On optimal portfolio diversification with respect to extreme risks
From MaRDI portal
Publication:650773
DOI10.1007/S00780-010-0122-ZzbMATH Open1226.91069OpenAlexW2079791165MaRDI QIDQ650773FDOQ650773
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
Recommendations
- Optimal diversification in the presence of parameter uncertainty for a risk averse investor
- Optimal portfolios on mean-diversification efficient frontiers
- Optimal portfolios with Haezendonck risk measures
- Risk-tolerant optimal efficient portfolios
- Portfolio diversification and value at risk under thick-tailedness†
- Optimum portfolio diversification in a general continuous-time model
- On optimal allocation of risk vectors
- AN EXTREME VALUE THEORY APPROACH TO THE ALLOCATION OF MULTIPLE ASSETS
- Portfolio optimization with optimal expected utility risk measures
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cites Work
- Title not available (Why is that?)
- Weak convergence and empirical processes. With applications to statistics
- Title not available (Why is that?)
- Title not available (Why is that?)
- Statistical inference using extreme order statistics
- Title not available (Why is that?)
- Estimating tails of probability distributions
- A simple general approach to inference about the tail of a distribution
- Nonparametric estimation of the spectral measure of an extreme value distribution.
- On maximum likelihood estimation of the extreme value index.
- Title not available (Why is that?)
- A moment estimator for the index of an extreme-value distribution
- Estimating the limit distribution of multivariate extremes
- Title not available (Why is that?)
- Non-parametric Estimation of Tail Dependence
- Regular variation for measures on metric spaces
- Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
- On the Tail Behavior of Sums of Dependent Risks
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- Support theorems for the Radon transform and Cramér-Wold theorems
- A characterization of multivariate regular variation.
- Estimating the probability of a rare event
- The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
- Tail estimates motivated by extreme value theory
- Limit theory for multivariate sample extremes
- Extreme Financial Risks
- Refined Pickands estimators of the extreme value index
- Estimating a multidimensional extreme-value distribution
- The Extremal Dependence Measure and Asymptotic Independence
- Estimating the spectral measure of an extreme value distribution
- Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
- Elementary proofs of some basic facts concerning order statistics
Cited In (35)
- 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
- Asymptotics for credit portfolio losses due to defaults in a multi-sector model
- Portfolio diversification and value at risk under thick-tailedness†
- Diversification quotients based on VaR and ES
- How risky is the optimal portfolio which maximizes the Sharpe ratio?
- Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses
- Worst-case-optimal dynamic reinsurance for large claims
- Risk in a Large Claims Insurance Market with Bipartite Graph Structure
- Ordering of multivariate risk models with respect to extreme portfolio losses
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- OPTIMAL NUMERAIRES FOR RISK MEASURES
- Toward a Copula Theory for Multivariate Regular Variation
- 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
- Interplay of insurance and financial risks in a stochastic environment
- AN EXTREME VALUE THEORY APPROACH TO THE ALLOCATION OF MULTIPLE ASSETS
- Asymptotics of sum of heavy-tailed risks with copulas
- Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
- Asymptotic analysis of portfolio diversification
- Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
- Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3)
- A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf
- Maximum likelihood estimation of elliptical tail
- Second-order properties of risk concentrations without the condition of asymptotic smoothness
- 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
- Testing the Multivariate Regular Variation Model
- Determining and Allocating Diversification Benefits for a Portfolio of Risks
- Bounds on total economic capital: the DNB case study
- Robust bounds in multivariate extremes
- Risk concentration of aggregated dependent risks: the second-order properties
This page was built for publication: On optimal portfolio diversification with respect to extreme risks
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q650773)
