Fat Tails and Optimal Liability Driven Portfolios
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- Pietro BALESTRA & Alberto HOLLY, 1990. "A General Kronecker Formula for the Moments of the Multivariate Normal Distribution," Cahiers de Recherches Economiques du Département d'économie 9002, Université de Lausanne, Faculté des HEC, Département d’économie.
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Cited by:
- Jan Rosenzweig, 2023. "A Tale of Tail Covariances (and Diversified Tails)," Papers 2302.13646, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-FMK-2022-03-07 (Financial Markets)
- NEP-IAS-2022-03-07 (Insurance Economics)
- NEP-ORE-2022-03-07 (Operations Research)
- NEP-RMG-2022-03-07 (Risk Management)
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