The Sortino Ratio and Extreme Value Theory: An Application to Asset Allocation

G. Geoffrey Booth*, John Paul Broussard

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingChapterScientific

1 Citation (Scopus)

Fingerprint

Dive into the research topics of 'The Sortino Ratio and Extreme Value Theory: An Application to Asset Allocation'. Together they form a unique fingerprint.

Business & Economics