مرکز منطقه ای اطلاع رساني علوم و فناوري - Tail estimation and mean–VaR portfolio selection in markets subject to financial instability

Title of article :

Tail estimation and mean–VaR portfolio selection in markets subject to financial instability

Author/Authors :

Giorgio Consigli، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2002

Pages :

From page :

1355

To page :

1382

Keywords :

Extreme values , Event risk , Benchmark optimisation with VaR constraints , Optimal portfolio selection , Poisson–Gaussian probability distribution , Value-at-Risk estimation

Journal title :

Journal of Banking and Finance

Serial Year :

2002

Journal title :

Journal of Banking and Finance

Record number :

193395

Link To Document :

https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=193395