Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets

DOI10.1142/S0219024998000035MaRDI QIDQ4216098zbMATH OpenWikidataFDO

Authors

Publication date 22 November 1998

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

Full work available at URL https://doi.org/10.1142/S0219024998000035

zbMATH Keywords

asset allocationfat tailstails of distributions

Mathematics Subject Classification ID

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

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Cites work

• Estimating the stable index in order to measure tail thickness: a critique
• Life Testing
• Portfolio Analysis in a Stable Paretian Market
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• The pricing of options and corporate liabilities

Cited in

(12)

• Eigenvector statistics of Lévy matrices
• Universal characteristics of fractal fluctuations in prime number distribution
• On the concentration of large deviations for fat tailed distributions, with application to financial data
• A Novel Asymmetric Distribution with Power Tails
• A LARGE DEVIATION APPROACH TO PORTFOLIO MANAGEMENT
• Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods
• Multifractal returns and hierarchical portfolio theory
• Value-at-risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions
• ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL
• The Kalman-Lévy filter
• A testable version of the Pareto-Stable CAPM
• GOE statistics for Lévy matrices

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