Worst case portfolio vectors and diversification effects
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Volume (Year): 16 (2012)
Issue (Month): 1 (January)
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- Puccetti, Giovanni & Scarsini, Marco, 2010.
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- Paul Embrechts & Giovanni Puccetti, 2006. "Bounds for Functions of Dependent Risks," Finance and Stochastics, Springer, vol. 10(3), pages 341-352, September.
- Zephyr, 2010. "The city," City, Taylor & Francis Journals, vol. 14(1-2), pages 154-155, February.
- Patrick Cheridito & Tianhui Li, 2009. "Risk Measures On Orlicz Hearts," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 189-214.
- Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447. Full references (including those not matched with items on IDEAS)
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