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Showing 2002Show all
2 papers · 1 filter
cond-mat.stat-mech2002★ 3 cited
Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets
Y. Malevergne, D. Sornette
We introduce a new set of consistent measures of risks, in terms of the semi-invariants of pdf's, such that the centered moments and the cumulants of the portfolio distribution of…
cond-mat.stat-mech2002
Hedging Extreme Co-Movements
Y. Malevergne, D. Sornette
Based on a recent theorem due to the authors, it is shown how the extreme tail dependence between an asset and a factor or index or between two assets can be easily calibrated. Por…