A Tale of Tail Covariances (and Diversified Tails)
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- Ebrahimi, Nader & Pflughoeft, Kurt & Soofi, Ehsan S., 1994. "Two measures of sample entropy," Statistics & Probability Letters, Elsevier, vol. 20(3), pages 225-234, June.
- Jan Rosenzweig, 2022. "Fat Tails and Optimal Liability Driven Portfolios," Papers 2201.10846, arXiv.org, revised Apr 2023.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2023-03-27 (Risk Management)
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