Asset allocation using extreme value theory / by Younes Bensalah. : FB3-2/102-2E-PDF

This paper examines asset allocation strategies in an extreme value at risk (VaR) framework in which the risk measure is the p-quantile from the extreme value distribution. The main focus is on the allocation problem faced by an extremely risk-averse institution, such as a central bank. The optimal portfolio in terms of excess return over the risk-free rate per unit of risk is also described.--Abstract

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Publication information
Department/Agency Bank of Canada.
Title Asset allocation using extreme value theory / by Younes Bensalah.
Series title Bank of Canada working paper1701-93972002-2
Publication type Series - View Master Record
Language [English]
Format Electronic
Electronic document
Other formats Paper-[English]
Note(s) "This paper examines asset allocation strategies in an extreme value at risk (VaR) framework in which the risk measure is the p-quantile from the extreme value distribution. The main focus is on the allocation problem faced by an extremely risk-averse institution, such as a central bank. The optimal portfolio in terms of excess return over the risk-free rate per unit of risk is also described."--Abstract.
The ISSN (1192-5434) for the print edition has been incorrectly copied in this electronic publication.
Bibliography.
Résumé en français.
Publishing information Ottawa - Ontario : Bank of Canada January 2002.
Description 29p.graphs, tables
ISSN 1701-9397
Catalogue number
  • FB3-2/102-2E-PDF
Subject terms Property management
Risk management
Stock markets
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