| 000 | 00000nam##2200000za#4500 |
| 001 | 9.615900 |
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| 003 | CaOODSP |
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| 005 | 20211126112847 |
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| 007 | ta |
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| 008 | 150406|2002||||xxc||||| f|0| 0 eng|d |
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| 020 | |a0-662-31657-6 |
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| 022 | |a1192-5434 |
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| 040 | |aCaOODSP|beng |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-2/102-2E |
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| 110 | 2 |aBank of Canada. |
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| 245 | 10|aAsset allocation using extreme value theory / |cby Younes Bensalah. |
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| 260 | |aOttawa - Ontario : |bBank of Canada |c2002. |
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| 300 | |av, 20p. : |bgraphs, tables ; |c28 cm. |
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| 490 | 1 |aWorking paper|x1192-5434|v2002-2 |
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| 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. |
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| 504 | |aBibliography. |
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| 520 | 3 |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 |
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| 546 | |aRésumés en français |
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| 563 | |aSoftcover |
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| 590 | |a02-05|b2002-02-01 |
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| 690 | 07|aProperty management|2gcpds |
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| 690 | 07|aRisk management|2gcpds |
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| 690 | 07|aStock markets|2gcpds |
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| 720 | 1 |aBensalah, Younes |
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| 776 | 0#|tAsset allocation using extreme value theory / |w(CaOODSP)9.571611 |
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| 830 | #0|aWorking paper,|x1192-5434|v2002-2|w(CaOODSP)9.514622 |
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