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SSRN Electronic Journal
Article . 2002 . Peer-reviewed
Data sources: Crossref
https://dx.doi.org/10.48550/ar...
Article . 2002
License: arXiv Non-Exclusive Distribution
Data sources: Datacite
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Hedging Extreme Co-Movements

Authors: Y. Malevergne; D. Sornette;

Hedging Extreme Co-Movements

Abstract

Based 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.

11 pages including 3 figures

Keywords

FOS: Economics and business, Quantitative Finance - Trading and Market Microstructure, Statistical Mechanics (cond-mat.stat-mech), FOS: Physical sciences, Condensed Matter - Statistical Mechanics, Trading and Market Microstructure (q-fin.TR)

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
2
Average
Average
Average
Green
bronze
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