| Author: | Consigli, G. |
| Title: | Tail estimation and mean-VaR portfolio selection in markets subject to financial instability |
| Journal: | Journal of Banking and Finance
2002 : JUL, VOL. 26:7, p. 1355-1382 |
| Index terms: | Portfolio management Value-at-risk Probability |
| Language: | eng |
| Abstract: | The author studies the implications of different risk measurement techniques and portfolio optimisation strategies in presence of markets subject to periods of severe instability, resulting in significant deviations of financial returns from the Normality assumption typically adopted in mainstream finance. |
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