On optimal portfolio diversification with respect to extreme risks

Georg Mainik () and Ludger Rüschendorf ()

Finance and Stochastics, 2010, vol. 14, issue 4, 593-623

Keywords: Portfolio optimization; Risk management; Diversification effects; Multivariate extremes; 62G32; 62G05; 62G20; 62P05; C13; C14; G11 (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s00780-010-0122-z

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