Worst case portfolio vectors and diversification effects
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References listed on IDEAS
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More about this item
KeywordsDependent risks; Risk bounds; Diversification; Comonotone vectors; 60E15; 91B30; G32; C43;
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
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