AN EXTREME VALUE THEORY APPROACH TO THE ALLOCATION OF MULTIPLE ASSETS

DOI10.1142/S0219024904002815zbMath1090.91037MaRDI QIDQ4658677

Murad S. Taqqu, Brendan O. Bradley

Publication date: 18 March 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

extreme value theorycatastrophic risksmultiple asset allocationStructure variable method

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Resource and cost allocation (including fair division, apportionment, etc.) (91B32)

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ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL

Cites Work

• Residual life time at great age
• A simple general approach to inference about the tail of a distribution
• On the density of scattered translates of the general multiquadric in \(C([a,b)\)]
• Sur la distribution limite du terme maximum d'une série aléatoire
• Extreme order statistics with cost of sampling
• Safety First and the Holding of Assets
• Dependence measures for extreme value analyses

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