2015-09-11Buch
Tail Event Driven ASset allocation
evidence from equity and mutual funds’ markets
Härdle, Wolfgang Karl; Chuen, David Lee Kuo; Nasekin, Sergey; Ni, Xinwen; Petukhina, Alla
Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., ...