Tail Risk of Smart Beta Portfolios: An Extreme Value Theory Approach

Lixia Loh, Stoyan Stoyanov

Author(s):

Lixia Loh

Senior research engineer at EDHEC-Risk Institute–Asia.

Stoyan Stoyanov

Professor of finance at EDHEC Business School and head of research at EDHEC Risk Institute–Asia.

Type: EDHEC Publication
Date: le 07/07/2014
Research Cluster : Finance

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