Suarez, Ronny (2018): Return level applied to portfolio analysis.
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Abstract
In this paper, we estimated return levels of a portfolio of two assets using extreme value theory.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Return level applied to portfolio analysis |
| English Title: | Return level applied to portfolio analysis |
| Language: | English |
| Keywords: | Generalized Pareto Distribution, Return Level |
| Subjects: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General |
| Item ID: | 87747 |
| Depositing User: | Mr Ronny Suarez |
| Date Deposited: | 12 Jul 2018 07:57 |
| Last Modified: | 09 Oct 2019 13:03 |
| References: | McNeil, A. J. (1999). Extreme Value Theory for Risk Managers. Internal Modelling and CAD II. RISK Books, 93-113. Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values. Springer, London. Suarez, R. (2018). Is the Dutch stock market getting riskier?. Munich Personal RePEc Archive. April 2018. Suarez, R. (2017). Is the United States stock market getting riskier?. Journal of Advanced Studies in Finance. December 2017. |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/87747 |
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