statistique, théorie et gestion de portefeuille - Docs at ISFA

380 12. Gestion des risques grands et extrêmes
and Finance (Springer, New York).
Malevergne, Y. and D. Sornette (2001) General
framework for a portfolio theory with non-
Gaussian risks and non-linear correlations, paper
presented at the 18th International conference in
Finance, June 2001, Namur, Belgium (e-print at
http : //arXiv.org/abs/cond−mat/0103020).
Malevergne, Y. and D. Sornette (2002) Tail Dependence
of Factor Models, working paper (http :
//arXiv.org/abs/cond − mat/0202356).
Johansen, A. et D. Sornette (2002), “Large
Price Drawdowns Are Outliers”, Journal of
Risk 4 (2), (http : //arXiv.org/abs/cond −
mat/0010050).
Sornette, D. (1999) Complexity, catastrophe and
physics, Physics World 12 (N12), 57-57.
Sornette, D. (2002) Predictability of catastrophic
events : material rupture, earthquakes, turbulence,
financial crashes and human birth, Proceedings
of the National Academy of Sciences USA, vol.
4, (e-print at http : //arXiv.org/abs/cond −
mat/0107173).
Sornette, D., P. Simonetti and J. V. Andersen
(2000) φ q -field theory for Portfolio optimization :
``fat tails” and non-linear correlations, Physics
Report 335 (2), 19-92.
Zajdenweber, D., Economie des extrêmes (Flammarion,
2000).