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

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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

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Publication information
Department/Agency
  • Bank of Canada.
TitleAsset allocation using extreme value theory / by Younes Bensalah.
Series title
  • Working paper 1192-5434 2002-2
Publication typeMonograph - View Master Record
Language[English]
FormatPhysical text
Other formatsDigital 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.
  • Bibliography.
  • Résumés en français
Publishing information
  • Ottawa - Ontario : Bank of Canada 2002.
BindingSoftcover
Descriptionv, 20p. : graphs, tables ; 28 cm.
ISBN0-662-31657-6
ISSN1192-5434
Catalogue number
  • FB3-2/102-2E
Subject terms
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