About this document
Extreme Risk Portfolio Selection Using ICA by Pradeep Srivatsava Manikonda is a document available to read on EtoBox.
This document discusses portfolio selection to protect against extreme losses. It introduces a model using independent component analysis (ICA) to describe extreme fluctuations in asset prices, assuming the independent components have heavy-tailed distributions. The paper proposes a conditional maximum likelihood estimation method to determine investment strategies that minimize extreme risk based on this model. Empirical studies are conducted to illustrate how the diversification from this model performs.
- Author
- Pradeep Srivatsava Manikonda
- Language
- EN