Estimating portfolio risk for tail risk protection strategies
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DOI: 10.1111/eufm.12256
Abstract: We forecast portfolio risk for managing dynamic tail risk protection strategies, based on extreme value theory, expectile regression, Copula-GARCH and dynamic GAS models. Utilizing a loss function that overcomes the lack of elicitability for Expected… read more here.
Keywords: risk; portfolio; risk protection; portfolio risk ... See more keywords