Maria Kartsakli

Zurich Insurance Company Ltd.

Hagenholzstrasse 60a

Zurich, Zurich 8050

Switzerland

SCHOLARLY PAPERS

1

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Scholarly Papers (1)

1.

Tail Behavior in Portfolio Optimization for Equity Style Factors

Number of pages: 21 Posted: 28 Dec 2018
Maria Kartsakli and Felix Schlumpf
Zurich Insurance Company Ltd. and Zurich Insurance Company Ltd
Downloads 208 (175,752)

Abstract:

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optimization techniques; tail events; smart beta; asset allocation model; diversification; stock market returns