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Asset Allocation Using Extreme Value Theory

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  • Younes Bensalah

Abstract

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  • 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: https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-2.pdf
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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. Brendan Bradley & Murad Taqqu, 2004. "Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 619-636.
    2. 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.
    3. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
    4. Brendan O. Bradley & Murad S. Taqqu, 2004. "An Extreme Value Theory Approach To The Allocation Of Multiple Assets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(08), pages 1031-1068.
    5. Mahfuzul Haque & Oscar Varela, 2010. "US-Thailand Bilateral Safety-first Portfolio Optimisation around the 1997 Asian Financial Crisis," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(2), pages 171-197, August.

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    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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