00000nam##2200000za#4500 9.615900 CaOODSP 20211126112847 ta 150406|2002||||xxc||||| f|0| 0 eng|d 0-662-31657-6 1192-5434 CaOODSP eng n-cn--- FB3-2/102-2E Bank of Canada. Asset allocation using extreme value theory / by Younes Bensalah. Ottawa - Ontario : Bank of Canada 2002. v, 20p. : graphs, tables ; 28 cm. Working paper 1192-5434 2002-2 "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. Bibliography. 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 Résumés en français Softcover 02-05 2002-02-01 Property management gcpds Risk management gcpds Stock markets gcpds Bensalah, Younes Asset allocation using extreme value theory / (CaOODSP)9.571611 Working paper, 1192-5434 2002-2 (CaOODSP)9.514622