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The downside risk of heavy tails induces low diversification
Hyung, Namwon; Vries, Casper G. de - 2010
Persistent link: https://www.econbiz.de/10008655194
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Risk measures for autocorrelated hedge fund returns
Di Cesare, Antonio; Stork, Philip; Vries, Casper G. de - 2011
Persistent link: https://www.econbiz.de/10009230368
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The downside risk of heavy tails induces low diversification
Hyung, Namwon; Vries, Casper G. de - 2010
downside risk and recognizes the heavytail feature of the asset return distributions. Then we show that optimal portfolio sizes …
Persistent link: https://www.econbiz.de/10011381335
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Abnormal returns, risk, and options in large data sets
Caserta, Silvia; Daníelsson, Jón; Vries, Casper G. de - 1998
construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi …
Persistent link: https://www.econbiz.de/10011299966
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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
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Risk diversification by European financial conglomerates
Slijkerman, Jan Frederik; Schoenmaker, Dirk; Vries, … - 2005
Persistent link: https://www.econbiz.de/10003233496
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Tail index and quantile estimation with very high frequency data
Daníelsson, Jón; Vries, Casper G. de - 1996
Persistent link: https://www.econbiz.de/10000937915