Extreme Financial Risks and Asset Allocation

Olivier Le Courtois and Christian Walter ()
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Olivier Le Courtois: EM Lyon Business School, France

Abstract: Extreme Financial Risks and Asset Allocation

Keywords: Lévy Process; Extreme Risks; Risk Management; Portfolio Management; Asset Allocation (search for similar items in EconPapers)
Date: 2014
ISBN: 9781783263080
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Citations: View citations in EconPapers (3)

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https://www.worldscientific.com/worldscibooks/10.1142/p907 (text/html)
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Chapters in this book:

Ch 1 Introduction , pp 1-7: Olivier Le Courtois and Christian Walter
Ch 2 Market Framework , pp 9-30: Olivier Le Courtois and Christian Walter
Ch 3 Statistical Description of Markets , pp 31-51: Olivier Le Courtois and Christian Walter
Ch 4 Lévy Processes , pp 53-75: Olivier Le Courtois and Christian Walter
Ch 5 Stable Distributions and Processes , pp 77-104: Olivier Le Courtois and Christian Walter
Ch 6 Laplace Distributions and Processes , pp 105-145: Olivier Le Courtois and Christian Walter
Ch 7 The Time Change Framework , pp 147-180: Olivier Le Courtois and Christian Walter
Ch 8 Tail Distributions , pp 181-226: Olivier Le Courtois and Christian Walter
Ch 9 Risk Budgets , pp 227-252: Olivier Le Courtois and Christian Walter
Ch 10 The Psychology of Risk , pp 253-274: Olivier Le Courtois and Christian Walter
Ch 11 Monoperiodic Portfolio Choice , pp 275-301: Olivier Le Courtois and Christian Walter
Ch 12 Dynamic Portfolio Choice , pp 303-329: Olivier Le Courtois and Christian Walter
Ch 13 Conclusion , pp 331-331: Olivier Le Courtois and Christian Walter

Related works:
Working Paper: Extreme Financial Risks and Asset Allocation (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:wsi:wsbook:p907

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