Optimal portfolio problem with unknown dependency structure
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- Kaas, Rob & Dhaene, Jan & Goovaerts, Marc J., 2000. "Upper and lower bounds for sums of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 151-168, October.
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- Lapan, Harvey E. & Hennessy, David A., 2002.
"Symmetry and Order in the Portfolio Allocation Problem,"
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- Harvey E. Lapan & David A. Hennessy, 2002. "Symmetry and order in the portfolio allocation problem," Economic Theory, Springer, vol. 19(4), pages 747-772.
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- Cheung, Ka Chun & Yang, Hailiang, 2004. "Ordering optimal proportions in the asset allocation problem with dependent default risks," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 595-609, December.
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