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Asset allocation using extreme value theory / by Younes Bensalah.: FB3-2/102-2E-PDF

This paper examines asset allocation strategies in an extreme value at risk (VaR) framework in which the risk measure is the p-quantile from the extreme value distribution. The main focus is on the allocation problem faced by an extremely risk-averse institution, such as a central bank. The optimal portfolio in terms of excess return over the risk-free rate per unit of risk is also described.--Abstract

Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.571611&sl=0

Publication information
Department/Agency
  • Bank of Canada.
TitleAsset allocation using extreme value theory / by Younes Bensalah.
Series title
  • Bank of Canada working paper 1701-9397 2002-2
Publication typeMonograph - View Master Record
Language[English]
FormatDigital text
Electronic document
Other formatsPhysical text-[English]
Note(s)
  • "This paper examines asset allocation strategies in an extreme value at risk (VaR) framework in which the risk measure is the p-quantile from the extreme value distribution. The main focus is on the allocation problem faced by an extremely risk-averse institution, such as a central bank. The optimal portfolio in terms of excess return over the risk-free rate per unit of risk is also described."--Abstract.
  • The ISSN (1192-5434) for the print edition has been incorrectly copied in this electronic publication.
  • Bibliography.
  • Résumé en français.
Publishing information
  • Ottawa - Ontario : Bank of Canada January 2002.
Description29p.graphs, tables
ISSN1701-9397
Catalogue number
  • FB3-2/102-2E-PDF
Subject terms
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