Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods

Author： Bradley Brendan O Taqqu Murad S

Publisher： Routledge Ltd

ISSN： 1469-7688

Source： Quantitative Finance, Vol.4, Iss.6, 2004-12, pp. : 619-636

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Extreme dependence of multivariate catastrophic losses

By Lescourret Laurence

Scandinavian Actuarial Journal, Vol. 2006, Iss. 4, 2006-07 ,pp. : 203-225

Taylor & Francis Ltd

Access to resources Recommend Favorite

Asset allocation and derivatives

By Haugh M.B. Lo A.W.

Quantitative Finance, Vol. 1, Iss. 1, 2001-01 ,pp. : 45-72

Routledge Ltd

Access to resources Recommend Favorite

Asset allocation models

By Vasanth Sandilya

Journal of Securities Operations & Custody, Vol. 6, Iss. 1, 2013-09 ,pp. : 25-30

Henry Stewart Publications

Access to resources Recommend Favorite

Strategic asset allocation for a country: the Norwegian case

By Døskeland Trond

Finanzmarkt und Portfolio Management, Vol. 21, Iss. 2, 2007-06 ,pp. : 167-201

Springer Publishing Company

Access to resources Recommend Favorite

Stable distributions in the Black-Litterman approach to asset allocation

By Giacometti Rosella Bertocchi Marida Rachev Svetlozar T. Fabozzi Frank J.

Quantitative Finance, Vol. 7, Iss. 4, 2007-08 ,pp. : 423-433

Routledge Ltd

Access to resources Recommend Favorite