Simulating and calibrating diversification against black swans

DOI10.1016/J.JEDC.2012.03.007MaRDI QIDQ310955zbMATH OpenOpenAlexFDO

Authors Namwon Hyung, Casper G. de Vries

Publication date 28 September 2016

Published in Journal of Economic Dynamics and 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)

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Cites work

• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Portfolio diversification and value at risk under thick-tailedness†
• Safety First and the Holding of Assets

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