On optimal portfolio diversification with respect to extreme risks
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More about this item
KeywordsPortfolio optimization; Risk management; Diversification effects; Multivariate extremes; 62G32; 62G05; 62G20; 62P05; C13; C14; G11;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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