Francesco Paolo Natale

Università degli Studi di Milano-Bicocca

Piazza dell'Ateneo Nuovo, 1

Milano, Milan 20126

Italy

  • Università degli Studi di Milano-Bicocca

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1.

TEV Sensitivity to Views in Black-Litterman Model

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 16 Posted: 22 Sep 2007
Maria Debora Braga and Francesco Paolo Natale
Università della Valle d'Aosta and Università degli Studi di Milano-Bicocca
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Black-Litterman, TEV, marginal contribution, views, sensitivity

2.

Optimization with Tail-Dependence and Tail Risk: A Copula Based Approach for Strategic Asset Allocation

Number of pages: 30 Posted: 05 Nov 2006
Francesco Paolo Natale
Università degli Studi di Milano-Bicocca
Downloads 695 (42,977)

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copula, simulation, tail index, EVT, asset allocation