ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL
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Publication:5297233
DOI10.1142/S0219024907004275zbMath1136.91476MaRDI QIDQ5297233
Skander Slim, Stéphan Clémençon
Publication date: 18 July 2007
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
independent component analysisextreme valuesheavy-tailed distributionportfolio selectionconditional mlesafety first investment strategies
Cites Work
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- AN EXTREME VALUE THEORY APPROACH TO THE ALLOCATION OF MULTIPLE ASSETS
- Extreme Value Theory as a Risk Management Tool
- Safety First and the Holding of Assets
- Using a bootstrap method to choose the sample fraction in tail index estimation
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