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    On optimal portfolio diversification with respect to extreme risks
    13 years 8 months ago
    On optimal portfolio diversification with respect to extreme risks
    Download  www.stochastik.uni-freiburg.de
    Extreme losses of portfolios with heavy-tailed components are studied in the framework of multivariate regular variation. Asymptotic distributions of extreme portfolio losses are ...
    Georg Mainik, Ludger Rüschendorf
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