2015. Mainik, G.:Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions. Journal of Multivariate Analysis.
Final publicationPreprint
2015. Mainik, G., Mitov, G., Rüschendorf, L.:Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz. Journal of Empirical Finance.
Final publicationPreprint
2014. Mainik, G., Schaanning, E.:On dependence consistency of CoVaR and some other systemic risk measures. Statistics & Risk Modeling.
Final publicationPreprint
2014. Beran, J., Mainik, G.:On estimating extremal dependence structures by parametric spectral measures. Statistical Methodology.
Final publicationPreprint
2013. Mainik, G., Embrechts, P.:Diversification in heavy-tailed portfolios: properties and pitfalls. Annals of Actuarial Science.
Final publicationPreprint
2012. Mainik, G.:Sampling dependence: empirical copulas, Latin hypercubes, and convergence of sums.
Working paper.
Evolved into
this publication.
Latest preprint is available
here.
2012. Arbenz, P., Hummel, C., Mainik, G.:Copula based hierarchical risk aggregation through sample reordering. Insurance: Mathematics and Economics.
Final publicationPreprint
2012. Mainik, G., Rüschendorf, L.:Ordering of multivariate risk models with respect to extreme portfolio losses. Statistics & Risk Modeling, 2012.
Final publicationPreprint
2010. Mainik, G., Rüschendorf, L.:On optimal portfolio diversification with respect to extreme risks. Finance and Stochastics.
Final publicationPreprint