Multivariate extremes, aggregation and risk estimation

DOI10.1080/713665553zbMath1405.91555OpenAlexW3124837757WikidataQ105592798 ScholiaQ105592798MaRDI QIDQ4646466

H. A. Hauksson, Gennady Samorodnitsky, Michel M. Dacorogna, Ulrich A. Müller, Thomas Domenig

Publication date: 14 January 2019

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

Full work available at URL: https://hdl.handle.net/1813/9145

zbMATH Keywords

extreme value distributionsportfolio optimizationrisk minimizationmultivariate extreme value theory

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Portfolio theory (91G10)

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