Hedging Extreme Co-Movements

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dc.creatorMalevergne, Y.
dc.creatorSornette, D.
dc.date2002-05-30
dc.date.accessioned2026-07-07T12:06:41Z
dc.date.available2026-07-07T12:06:41Z
dc.descriptionBased 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. Portfolios constructed with stocks with minimal tail dependence with the market exhibit a remarkable degree of decorrelation with the market at no cost in terms of performance measured by the Sharpe ratio.
dc.description11 pages including 3 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0205636
dc.identifierhttp://arxiv.org/abs/cond-mat/0205636
dc.identifierMinimizing Extremes, RISK, November issue, 129-133 (2002) (www.risk.net)
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208726
dc.subjectStatistical Mechanics
dc.subjectTrading and Market Microstructure
dc.titleHedging Extreme Co-Movements
dc.typetext

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