On optimal portfolio diversification with respect to extreme risks
type: Item
instance of: scholarly article
title: On optimal portfolio diversification with respect to extreme risks
zbMATH Open document ID: 1226.91069
author: Georg Mainik
author: Ludger Rüschendorf
published in: Finance and Stochastics
publication date: 2011-11-27T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 62G05
Mathematics Subject Classification ID: 62G20
zbMATH DE Number: 5981323
zbMATH Keywords: portfolio optimization
zbMATH Keywords: risk management
zbMATH Keywords: diversification effects
zbMATH Keywords: multivariate extremes
MaRDI profile type: Publication
full work available at URL: s00780-010-0122-z
OpenAlex ID: W2079791165
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DOI: 10.1007/S00780-010-0122-Z
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description: scientific article; zbMATH DE number 5981323