Title of article
Tail estimation and mean–VaR portfolio selection in markets subject to financial instability
Author/Authors
Giorgio Consigli، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2002
Pages
28
From page
1355
To page
1382
Keywords
Extreme values , Event risk , Benchmark optimisation with VaR constraints , Optimal portfolio selection , Poisson–Gaussian probability distribution , Value-at-Risk estimation
Journal title
Journal of Banking and Finance
Serial Year
2002
Journal title
Journal of Banking and Finance
Record number
193395
Link To Document