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- W3121301062 abstract "We analyze a number of systematic investment strategies that intend to reduce tail risk. Using extreme value theory, we calculate value at risk and expected shortfall measures. A capital asset pricing model (CAPM) and down- and upside beta framework is used to study investment returns over different asset classes. We find that some mechanical strategies generate average compounded returns similar to those of the Buy-and-Hold strategy, and that tail risks are indeed reduced significantly." @default.
- W3121301062 created "2021-02-01" @default.
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- W3121301062 date "2013-01-01" @default.
- W3121301062 modified "2023-09-25" @default.
- W3121301062 title "Tail Risk Reduction Strategies" @default.
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- W3121301062 doi "https://doi.org/10.1016/b978-0-12-415875-7.00028-2" @default.
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