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
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.571611&sl=1
Ministère/Organisme | Bank of Canada. |
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Titre | Asset allocation using extreme value theory / by Younes Bensalah. |
Titre de la série | Bank of Canada working paper1701-93972002-2 |
Type de publication | Série - Voir l'enregistrement principal |
Langue | [Anglais] |
Format | Électronique |
Document électronique | |
Autres formats offerts | Papier-[Anglais] |
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. |
Information sur la publication | Ottawa - Ontario : Bank of Canada January 2002. |
Description | 29p.graphs, tables |
ISSN | 1701-9397 |
Numéro de catalogue |
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Descripteurs | Property management Risk management Stock markets |
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