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

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References

1952Safety First and the Holding of Assets2,537 cited
1980Financial Theory and Corporate Policy.1,699 cited
1990Alternative models for conditional stock volatility1,272 cited
1982Financial Theory and Corporate Policy.956 cited
1989A Moment Estimator for the Index of an Extreme-Value Distribution697 cited
1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets517 cited
1991On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective448 cited
1989On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective425 cited
1989Business Cycles, Financial Crises, and Stock Volatility367 cited
1990Indexes of U.S. Stock Prices from 1802 to 1987356 cited
1990The tail index of exchange rate returns252 cited
1990The Foreign Exchange Market: Theory and Econometric Evidence.197 cited
1989Economic Implications of Extraordinary Movements in Stock Prices134 cited
1991The limiting distribution of extremal exchange rate returns133 cited
1990The Foreign Exchange Market: Theory and Econometric Evidence.77 cited

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1972Safety First--An Expected Utility Principle74 cited

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