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ArticlePortfolio selection with heavy tails

Namwon Hyung2007

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Articlegreen2007

Portfolio selection with heavy tails

Namwon Hyung · Casper G. de Vries

36 citations·0/0 files stored·Journal of Empirical Finance

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1952Safety First and the Holding of Assets 2001Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation 2000Sensitivity analysis of Values at Risk 1977Portfolio choice and equilibrium in capital markets with safety-first investors 2000Portfolio selection with limited downside risk 2001Extremal Forex Returns in Extremely Large Data Sets 2001Extreme observations and diversification in Latin American emerging equity markets 1998Extreme financial returns and their comovements

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2023A bibliometric review of portfolio diversification literature

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2005Portfolio Diversification Effects of Downside Riskarticle · 5 shared references 2010Dependence structure of risk factors and diversification effectsarticle · 5 shared references 2012Extreme Value Theory for Finance: A Surveypreprint · 5 shared references 2007Varying the VaR for unconditional and conditional environmentsarticle · 4 shared references 2000Portfolio selection with limited downside riskarticle · 3 shared references 2004Framework for Analyzing Spatial Contagion between Financial Marketspreprint · 3 shared references

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Year2007

Typearticle

Published2007-02-03

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations36

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.jempfin.2006.06.004

openalex_workW2811131831

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