Selecting Optimal Sample Fraction for Tail Index Estimation in a Safety First Portfolio Problem

Additional Metadata
Keywords	Tail index estimation; Portfolio selection; heavy tails
Thesis Advisor	Oorschot, J.A.
Persistent URL	hdl.handle.net/2105/60149
Series	Econometrie
Organisation	Erasmus School of Economics
Citation APA APA Style APA-ALL Style AAA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Macaraeg, D.T. (2021). Selecting Optimal Sample Fraction for Tail Index Estimation in a Safety First Portfolio Problem. In Econometrie.http://hdl.handle.net/2105/60149

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