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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Department/Agency | Bank of Canada. |
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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 |
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Subject terms | Property management Risk management Stock markets |
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