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Paper Information

Journal:   FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)   SUMMER 2016 , Volume 9 , Number 30; Page(s) 33 To 54.
 
Paper: 

PORTFOLIO SELECTION WITH LOWER TAIL DEPENDENCE AND EXTREME VALUE THEORY

 
 
Author(s):  FALAHPUR SAID, FEYZOLAH SAMINE
 
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Abstract: 

Portfolio selection is an important problem in area of finance. Researchers have always tried to work with a variety of methods and strategies to achieve this important issue.
In this research has been trying to present a new approach for portfolio selection with use of lower tail dependence and Extreme value theory.
We show theoretically that lower tail dependence (
c), a measure of the probability that a portfolio will suffer large losses given that the market does, contains important information for risk-averse investors. We then estimate c for a sample of stocks and show that it differs systematically from other risk measures including variance, semi-variance, skewness, kurtosis, beta, and coskewness. In out-of-sample tests, portfolios constructed to have low values of c outperform the market index, and portfolios with high values of c Our results indicate that c is conceptually important for risk-averse investors, differs substantially from other risk measures, and provides useful information for portfolio selection.

 
Keyword(s): PORTFOLIO SELECTION, LOWER TAIL DEPENDENCE, EXTREME VALUE THEORY
 
 
References: 
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Citations: 
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APA: Copy

FALAHPUR, S., & FEYZOLAH, S. (2016). PORTFOLIO SELECTION WITH LOWER TAIL DEPENDENCE AND EXTREME VALUE THEORY. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 9(30), 33-54. https://www.sid.ir/en/journal/ViewPaper.aspx?id=510139



Vancouver: Copy

FALAHPUR SAID, FEYZOLAH SAMINE. PORTFOLIO SELECTION WITH LOWER TAIL DEPENDENCE AND EXTREME VALUE THEORY. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES). 2016 [cited 2021July27];9(30):33-54. Available from: https://www.sid.ir/en/journal/ViewPaper.aspx?id=510139



IEEE: Copy

FALAHPUR, S., FEYZOLAH, S., 2016. PORTFOLIO SELECTION WITH LOWER TAIL DEPENDENCE AND EXTREME VALUE THEORY. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), [online] 9(30), pp.33-54. Available: https://www.sid.ir/en/journal/ViewPaper.aspx?id=510139.



 
 
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