Tail-risk protection trading strategies

DOI10.1080/14697688.2016.1249512zbMath1402.91726OpenAlexW3033950859MaRDI QIDQ4555105

J. Papenbrock, F. Woebbeking, Peter Schwendner, Natalie Packham

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1249512

zbMATH Keywords

tail distributionsextreme eventsportfolio protectiontail-risk protection

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (1)

Agricultural commodity futures trading based on cross-country rolling quantile return signals

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Theory of constant proportion portfolio insurance
• Bootstrap methods: another look at the jackknife
• On dynamic investment strategies
• Generalized autoregressive conditional heteroscedasticity
• Hyperbolic distributions in finance
• Leverage causes fat tails and clustered volatility
• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• The Stationary Bootstrap
• A Reality Check for Data Snooping
• Empirical properties of asset returns: stylized facts and statistical issues
• What good is a volatility model?
• Financial Modelling with Jump Processes
• Quadratic ARCH Models
• Asymptotic Inference about Predictive Ability
• Minimizing CVaR in global dynamic hedging with transaction costs
• Stochastic finance. An introduction in discrete time

This page was built for publication: Tail-risk protection trading strategies