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| 01913nam##2200361za#4500 |
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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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