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Asset Allocation Using Extreme Value Theory

Author

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  • Younes Bensalah

Abstract

No abstract is available for this item.

Suggested Citation

  • Younes Bensalah, 2002. "Asset Allocation Using Extreme Value Theory," Staff Working Papers 02-2, Bank of Canada.
  • Handle: RePEc:bca:bocawp:02-2
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    File URL: http://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-2.pdf
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    References listed on IDEAS

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    1. Younes Bensalah, 2000. "Steps in Applying Extreme Value Theory to Finance: A Review," Staff Working Papers 00-20, Bank of Canada.
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    Cited by:

    1. Lan-chih Ho & John Cadle & Michael Theobald, 2011. "An analysis of risk-based asset allocation and portfolio insurance strategies," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 247-267, February.

    More about this item

    Keywords

    Financial markets;

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G1 - Financial Economics - - General Financial Markets

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