On optimal portfolio diversification with respect to extreme risks
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Volume (Year): 14 (2010)
Issue (Month): 4 (December)
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- Einmahl, John H.J. & de Haan, Laurens & Sinha, Ashoke Kumar, 1997.
"Estimating the spectral measure of an extreme value distribution,"
Stochastic Processes and their Applications,
Elsevier, vol. 70(2), pages 143-171, October.
- J Einmahl, .H. & de Haan, L. & Sinha, A., 1997. "Estimating the spectral measure of an extreme value distribution," Other publications TiSEM ac22e123-1e5d-448a-981e-a, Tilburg University, School of Economics and Management.
- Casper G. de Vries & Gennady Samorodnitsky & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005.
"Subadditivity Re–Examined: the Case for Value-at-Risk,"
FMG Discussion Papers
dp549, Financial Markets Group.
- Jon Danielsson & Bjørn N. Jorgensen & Sarma Mandira & Gennady Samorodnitsky & C. G. de Vries, 2005. "Subadditivity re–examined: the case for value-at-risk," LSE Research Online Documents on Economics 24668, London School of Economics and Political Science, LSE Library.
- Marco Moscadelli, 2004. "The modelling of operational risk: experience with the analysis of the data collected by the Basel Committee," Temi di discussione (Economic working papers) 517, Bank of Italy, Economic Research and International Relations Area.
- Michel Dacorogna & Höskuldur Ari Hauksson & Thomas Domenig & Ulrich Müller & Gennady Samorodnitsky, 2001.
"Multivariate extremes, aggregation and risk estimation,"
CeNDEF Workshop Papers, January 2001
P2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- H. A. Hauksson & M. Dacorogna & T. Domenig & U. Mller & G. Samorodnitsky, 2001. "Multivariate extremes, aggregation and risk estimation," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 79-95.
- Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
- Einmahl, J.H.J. & de Haan, L.F.M. & Piterbarg, V.I., 2001. "Nonparametric estimation of the spectral measure of an extreme value distribution," Other publications TiSEM c3485b9b-a0bd-456f-9baa-0, Tilburg University, School of Economics and Management.
- Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1505-1518, July.
- Rafael Schmidt & Ulrich Stadtmüller, 2006. "Non-parametric Estimation of Tail Dependence," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 307-335.
- Embrechts, Paul & Neslehová, Johanna & Wüthrich, Mario V., 2009. "Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 164-169, April.
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