Extreme Correlations and Optimizing for Stress
提出一种基于多元极值理论的协方差矩阵推导方法，帮助投资者在极端市场环境下应用均值-方差技术分析投资策略，用于风险管理和构建最优防御型投资组合。
Asset correlations often change significantly during periods of financial market dislocation. This article describes a rigorous way of deriving a covariance matrix for use in stressed market environments. This lets investors apply standard mean–variance techniques to analyze investment strategy under extreme conditions. Applications include risk management and constructing optimally defensive portfolios for stressed markets. The method is based on recent advances in multivariate extreme-value theory. <b>TOPICS:</b>Portfolio theory, volatility measures, in portfolio management