Efficient Portfolio Selection for Pareto-Lévy Investments
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 2 (1967)
Issue (Month): 02 (June)
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- Cornelis A Los, 2005.
"Why VaR FailsLong Memory and Extreme Events in Financial Markets,"
The IUP Journal of Financial Economics,
IUP Publications, vol. 0(3), pages 19-36, September.
- Cornelis A. Los, 2004. "Why VAR Fails: Long Memory and Extreme Events in Financial Markets," Finance 0412014, EconWPA.
- Athayde, Gustavo M. de & Flôres Junior, Renato Galvão, 2001. "Finding a Maximum Skewness Portfolio - A General Solution to Three-Moments Portfolio Choice," Economics Working Papers (Ensaios Economicos da EPGE) 434, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Lau, Hon-Shiang & Lau, Amy Hing Ling, 1997. "The confounding effects of distribution mixtures on some basic methods for handling stable-Paretian distributions," European Journal of Operational Research, Elsevier, vol. 100(1), pages 60-71, July.
- Cornelis A. Los, 2004. "When to Put All Your Eggs in One Basket.....When Diversification Increases Portfolio Risk!," Finance 0411037, EconWPA.
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