Asset allocation using extreme value theory / by Younes Bensalah. : FB3-2/102-2E
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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| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | Asset allocation using extreme value theory / by Younes Bensalah. |
| Titre de la série | Working paper1192-54342002-2 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Papier |
| Autres formats offerts | Électronique-[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. Bibliography. Résumés en français |
| Information sur la publication | Ottawa - Ontario : Bank of Canada 2002. |
| Reliure | Softcover |
| Description | v, 20p. : graphs, tables ; 28 cm. |
| ISBN | 0-662-31657-6 |
| ISSN | 1192-5434 |
| Numéro de catalogue |
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| Descripteurs | Property management Risk management Stock markets |
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