- Author
- Jajuga Krzysztof (Wrocław University of Economics, Poland)
- Title
- Application of Extreme Value Analysis in Portfolio Analysis
Zastosowanie analizy wartości ekstremalnych w analizie portfelowej - Source
- Prace Naukowe Akademii Ekonomicznej we Wrocławiu, 2006, nr 1133, s. 130-138, tab., bibliogr. 5 poz.
- Issue title
- Inwestycje finansowe i ubezpieczenia - tendencje światowe a polski rynek
- Keyword
- Analiza portfelowa, Teoria wartości ekstremalnych
Portfolio analysis, Extreme Values Theory (EVT) - Note
- streszcz.
- Abstract
- W artykule podano kilka propozycji zastosowania teorii wartości ekstremalnych w analizie portfelowej. Rozpatrzono dwa przypadki: przypadek jednowymiarowy i przypadek wielowymiarowy. Artykuł rozpoczyna syntetyczna prezentacja teorii wartości ekstremalnych, a w dalszej części zaprezentowano zastosowania praktyczne ilustrowane przykładami z rynku finansowego. (abstrakt oryginalny)
Portfolio analysis is one of the most important areas in modem finance. One the ; hand, the birth of portfolio theory was one of the very few milestones in the scientific history of finance. On the other hand, portfolio theory is the main background of risk analysis and management. There are at least several approaches proposed in portfolio theory. The classical approach is well-known Markowitz theory, generalized by James Tobin to include risk-free instruments. Of course, the non-classical approaches are very often applied as well. Among the most often used non-classical approaches it is worth to mention the "safety-first" approaches, were the main stress is put on the avoiding large losses in a portfolio. The good description of these approaches is given in.
In this paper we propose the other possible ways to introduce "safety-first" concept in portfolio analysis. These proposals are based on Extreme Value Theory, being relative new statistical tool. The conceptual considerations are preceded by a synthetic presentation of Extreme Value Theory. In addition, some illustrative examples are given. (fragment of text) - Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Main Library of Poznań University of Economics and Business - Bibliography
-
- Elton E.J., Gruber M.J., Brown S.J., Goetzmann W.N., Modern Portfolio Theory and Investment Analysis, Wiley, New York 2003.
- Embrechts P., Klüppelberg C., Mikosch T., Modelling Extremal Events for Insurance and Finance, Springer-Verlag, Berlin 1997.
- Galambos J., The Asymptotic Theory of Extreme Order Statistics, Kreiger Publishing, Melbourne 1978.
- Jajuga K., Papla D., Extreme Value Analysis and Copula, [w:] P. Cizek, W. Hardie, R. Weron (red.), Statistical Tools for Finance and Insurance, Springer, Berlin 2005, s. 45-64.
- Sklar A., Fonctions de repartition à n dimensions et leurs marges, Publications de l'Institut de Statistique de l'Université de Paris, 8, Paris 1959, s. 229-231.
- Cited by
- ISSN
- 0324-8445
- Language
- eng
