Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz
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Date
2015-06Type
- Journal Article
ETH Bibliography
yes
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Publication status
publishedExternal links
Journal / series
Journal of Empirical FinanceVolume
Pages / Article No.
Publisher
ElsevierSubject
Portfolio optimization; Heavy tails; Tail risk; Extreme Risk Index; Extreme value theory; Financial crisisNotes
Received 17 October 2013, Received in revised form 7 January 2015, Accepted 13 March 2015, Published online 21 March 2015.More
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ETH Bibliography
yes
Altmetrics