Tail estimation and mean-VaR portfolio selection in markets subject to financial instability

Journal of Banking and Finance

Volumn 26, Issue 7, 2002, Pages 1355-1382

  Consigli, Giorgio ^a,b  

^a SAPIENZA UNIVERSITY OF ROME   (Italy)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

Benchmark optimisation with VaR constraints; Event risk; Extreme values; Optimal portfolio selection; Poisson Gaussian probability distribution; Value at risk estimation

Indexed keywords

EID: 0036076956     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(02)00267-4     Document Type: Article

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