Discrete time portfolio optimisation managing value at risk under heavy tail return distribution
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2019-08-26 (Computational Economics)
- NEP-RMG-2019-08-26 (Risk Management)
- NEP-UPT-2019-08-26 (Utility Models and Prospect Theory)
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