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Safety First Portfolio Selection, Extreme Value Theory and Long Run Asset Risks · Study

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ChapterSafety First Portfolio Selection, Extreme Value Theory and Long Run Asset Risks

Laurens de Haan1994

Chapter1994

Safety First Portfolio Selection, Extreme Value Theory and Long Run Asset Risks

Laurens de Haan · Dennis W. Jansen · Kees C. G. Koedijk · Casper G. de Vries

96 citations·0/0 files stored·Springer eBooks

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Probability and Risk Models

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References

1952Safety First and the Holding of Assets 1980Financial Theory and Corporate Policy.1990Alternative models for conditional stock volatility 1982Financial Theory and Corporate Policy.1989A Moment Estimator for the Index of an Extreme-Value Distribution 1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets 1991On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective 1989On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective

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2020The impact of carbon emissions on country risk: Evidence from the G7 economies 2000Portfolio selection with limited downside risk 2001Extremal Forex Returns in Extremely Large Data Sets 2010Contagion risk in the Australian banking and property sectors 2001EVIM: A Software Package for Extreme Value Analysis in MATLAB 2015Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis

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Year1994

Typechapter

Published1994-01-01

VenueSpringer eBooks

Languageen

Citations96

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/978-1-4613-3638-9_29

openalex_workW19603482

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