Portfolio selection with heavy tails

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Portfolio selection with heavy tails

Author Info

Hyung, Namwon
de Vries, Casper G.

Additional information is available for the following registered author(s):

Casper G. de Vries

Abstract

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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 14 (2007)
Issue (Month): 3 (June)
Pages: 383-400
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Handle: RePEc:eee:empfin:v:14:y:2007:i:3:p:383-400

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Paper
- Namwon Hyung & Casper G. de Vries, 2005. "Portfolio Selection with Heavy Tails," Tinbergen Institute Discussion Papers 05-009/2, Tinbergen Institute, revised 04 Oct 2006. [Downloadable!]

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Dennis W. Jansen, 2001. "Limited Downside Risk In Portfolio Selection Among U.S. And Pacific Basin Equities," International Economic Journal, Korean International Economic Association, vol. 15(4), pages 1-22, December. [Downloadable!] (restricted)
Christian Gourieroux & J. P. Laurent & Olivier Scaillet, 2000. "Sensitivity Analysis of Values at Risk," Econometric Society World Congress 2000 Contributed Papers 0162, Econometric Society. [Downloadable!]
Other versions:
- Gouriéroux, Christian & Laurent, J.P. & Scaillet, Olivier, 1999. "Sensitivity Analysis of Values at Risk," UniversitÃ© catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper 2000002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Jan 2000. [Downloadable!]
- C. Gourieroux & J.P. Laurent & O. Scaillet, 2000. "Sensitivity analysis of values at risk," THEMA Working Papers 2000-04, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Gourieroux, C. & Laurent, J.P. & Scaillet, O., 2000. "Sensitivity Analysis of Values at Risk," Papers 2000-05, Institut National de la Statistique et des Etudes Economiques-.
- Gourieroux, C. & Laurent, J. P. & Scaillet, O., 2000. "Sensitivity analysis of Values at Risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 225-245, November. [Downloadable!] (restricted)
de Vries, Casper G & Hartmann, Philipp & Straetmans, Stefan, 2001. "Asset Market Linkages in Crisis Periods," CEPR Discussion Papers 2916, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Other versions:
- P. Hartmann & S. Straetmans & C.G. de Vries, 2001. "Asset Market Linkages in Crisis Periods," Tinbergen Institute Discussion Papers 01-071/2, Tinbergen Institute. [Downloadable!]
- Hartmann, P. & Straetmans, S. & De Vries, C.G., 2001. "Asset Market Linkages in Crisis Periods," Papers 71, Quebec a Montreal - Recherche en gestion.
- Stefan Straetmans & Casper G. De Vries & Philipp Hartmann, 2001. "Asset market linkages in crisis periods," Working Paper Series 071, European Central Bank. [Downloadable!]
- Philipp Hartmann & Stefan Straetmans & Casper G. de Vries, 2001. "Asset market linkages in crisis periods," Proceedings, Federal Reserve Bank of Chicago, issue May, pages 555-576.
- P. Hartmann & S. Straetmans & C. G. de Vries, 2004. "Asset Market Linkages in Crisis Periods," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 313-326, 01. [Downloadable!] (restricted)
Jansen, Dennis W. & Koedijk, Kees G. & de Vries, Casper G., 2000. "Portfolio selection with limited downside risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 247-269, November. [Downloadable!] (restricted)

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