Munich Personal RePEc Archive

Return level applied to portfolio analysis

Suarez, Ronny (2018): Return level applied to portfolio analysis.

[img]
Preview
PDF
MPRA_paper_87747.pdf

Download (746kB) | Preview

Abstract

In this paper, we estimated return levels of a portfolio of two assets using extreme value theory.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.