On optimal portfolio diversification with respect to extreme risks
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Volume (Year): 14 (2010)
Issue (Month): 4 (December)
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- Embrechts, Paul & Neslehová, Johanna & Wüthrich, Mario V., 2009. "Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 164-169, April.
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