The Hazard-Adjusted Portfolio: A New Capital Allocation Scheme from an Extreme-Risk Management Perspective

Falk Laube and Virginie Terraza

Chapter 6 in Understanding Investment Funds, 2013, pp 129-160 from Palgrave Macmillan

Abstract: Abstract Since the beginning of the decade, the frequency and impact of financial crises have gained magnitude continuously. As a consequence, research in the field of extreme risks has enjoyed prioritization in the field of risk management (for example Chou et al., 2005; Malevergne et al., 2005; Capiello et al., 2006; Gelagati et al., 2006; Xie et al., 2006; Colacito et al., 2009; Karandikar et al., 2009). Today, the primary goal for institutions and investors has shifted to ensuring long-term survival in the financial markets before business.

Keywords: Hedge Fund; Asset Return; Bond Market; Asset Allocation; Investment Horizon (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-27361-1_7

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DOI: 10.1057/9781137273611_7

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