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~isPartOf:"Discussion paper / Tinbergen Institute"
~person:"Vries, Casper G. de"
~subject:"Portfolio selection"
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Vries, Casper G. de
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ECONIS (ZBW)
10
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1
Convolutions of heavy tailed random variables and applications to portfolio diversification and MA(1) time series
Geluk, Jaap
;
Peng, Liang
;
Vries, Casper G. de
-
1999
Persistent link: https://www.econbiz.de/10001436178
Saved in:
2
Operationalizing safety first portfolio selection using extreme value
theory
Jansen, Dennis W.
;
Koedijk, Kees
;
Vries, Casper G. de
-
1995
Persistent link: https://www.econbiz.de/10000909287
Saved in:
3
Portfolio diversification effects and regular variation in financial data
Hyung, Namwon
;
Vries, Casper G. de
-
2001
Persistent link: https://www.econbiz.de/10001594653
Saved in:
4
The downside risk of heavy tails induces low diversification
Hyung, Namwon
;
Vries, Casper G. de
-
2010
Persistent link: https://www.econbiz.de/10008655194
Saved in:
5
Convolutions of heavy tailed random variables and applications to portfolio diversification and MA(1) time series
Geluk, Jaap
;
Peng, Liang
;
Vries, Casper G. de
-
1999
The paper characterizes first and second order tail behavior ofconvolutions of i.i.d. heavy tailed random variables with supporton the real line. The result is applied to the problem of riskdiversification in portfolio analysis and to the estimation of theparameter in a MA(1) model.
Persistent link: https://www.econbiz.de/10011302620
Saved in:
6
Portfolio diversification effects and regular variation in financial data
Hyung, Namwon
;
Vries, Casper G. de
-
2001
returns. The
theory
of regular variation and extreme values provides a model for this feature of financial data. We first … review this
theory
and subsequently study the problem of portfolio diversification in particular. We show that if the …
Persistent link: https://www.econbiz.de/10011317458
Saved in:
7
Optimal portfolio allocation under a probabilistic risk constraint and the incentives for financial innovation
Daníelsson, Jón
;
Jorgensen, Bjorn N.
;
Vries, Casper G. de
-
2001
We characterize the investor’s optimal portfolio allocation subject to a budget constraint and a probabilistic VaR constraint in complete markets environments with a finite number of states. The set of feasible portfolios might no longer be connected or convex, while the number of local optima...
Persistent link: https://www.econbiz.de/10011317459
Saved in:
8
Generational accounting, solidarity and pension losses
Teulings, Coen N.
;
Vries, Casper G. de
-
2003
consumption and portfolio
theory
shows that the younger generations should have the higher equity exposure due to their human …
Persistent link: https://www.econbiz.de/10011334341
Saved in:
9
Portfolio selection with heavy tails
Hyung, Namwon
;
Vries, Casper G. de
-
2006
order terms are taken into account, a balanced solution emerges. The
theory
is applied to empirical examples from the …
Persistent link: https://www.econbiz.de/10011343253
Saved in:
10
Generational accounting, solidarity and pension losses
Teulings, Coen N.
;
Vries, Casper G. de
-
2003
Persistent link: https://www.econbiz.de/10001884957
Saved in:
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