Title
For better or for worse For better or for worse
Author
Faculty/Department
Faculty of Applied Economics
Publication type
article
Publication
Bruxelles ,
Subject
Economics
Source (journal)
Revue bancaire et financière. - Bruxelles, 2003, currens
Volume/pages
3(2008) , p. 216-220
ISSN
2033-7825
Carrier
E
Target language
English (eng)
Abstract
Actively managed portfolios that include some form of protection feature in their investment objective are typically exposed to the risk of a market failure, i.e. sudden, extreme market declines. Low volatile markets like the ones we have experienced for some time last year might set minds at ease. Or a portfolio might be proven to survive the worst events of the past. Genius tends to fail, however, and sometimes one wants to try to assess the probability that the worst is yet to come. This article provides a roadmap for applying extreme value theory in such a setting, with a focus on the description of balanced fund return distributions.
E-info
https://repository.uantwerpen.be/docman/iruaauth/9a6e63/a993ae212e7.pdf