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    Instability of Portfolio Optimization under Coherent Risk Measures
    13 years 8 months ago
    Instability of Portfolio Optimization under Coherent Risk Measures
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    It is shown that the axioms for coherent risk measures imply that whenever there is a pair of portfolios such that one of them dominates the other one in a given sample (which hap...
    Imre Kondor, István Varga-Haszonits
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