ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL (Q5297233)
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scientific article; zbMATH DE number 5172243
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL |
scientific article; zbMATH DE number 5172243 |
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ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL (English)
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18 July 2007
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independent component analysis
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portfolio selection
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heavy-tailed distribution
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extreme values
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conditional mle
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safety first investment strategies
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