Portfolio selection with heavy tails

Journal of Empirical Finance

Volumn 14, Issue 3, 2007, Pages 383-400

  Hyung, Namwon ^a,b   de Vries, Casper G ^b,c,d  

^a University of Seoul   (South Korea)

^b TINBERGEN INSTITUTE   (Netherlands)

^c ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^d EURANDOM   (Netherlands)

Author keywords

Heavy tails; Portfolio diversification; Safety first

Indexed keywords

EID: 34247227688     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2006.06.004     Document Type: Article

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