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008150406|2002||||xxc|||||o    f|0| 0 eng|d
022 |a1701-9397
040 |aCaOODSP|beng
043 |an-cn---
0861 |aFB3-2/102-2E-PDF
1102 |aBank of Canada.
24510|aAsset allocation using extreme value theory / |h[electronic resource]|cby Younes Bensalah.
260 |aOttawa - Ontario : |bBank of Canada |cJanuary 2002.
300 |a29p.|bgraphs, tables
4901 |aBank of Canada working paper|x1701-9397|v2002-2
500 |a"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.
500 |aThe ISSN (1192-5434) for the print edition has been incorrectly copied in this electronic publication.
504 |aBibliography.
5203 |aThis 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
546 |aRésumé en français.
590 |a11-19-Supp|b2011-09-23
69007|aProperty management|2gcpds
69007|aRisk management|2gcpds
69007|aStock markets|2gcpds
7201 |aBensalah, Younes
7760#|tAsset allocation using extreme value theory / |w(CaOODSP)9.615900
830#0|aWorking paper (Bank of Canada)|x1701-9397|v2002-2|w(CaOODSP)9.504604
85640|ahttp://publications.gc.ca|qPDF|s320 KB|uhttps://publications.gc.ca/collections/Collection/FB3-2-102-2E.pdf|y2002-2