Have your cake and eat it too: increasing returns while lowering large risks!
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References listed on IDEAS
- Sornette, Didier, 1998. "Large deviations and portfolio optimization," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 256(1), pages 251-283.
- Didier Sornette, 1998. "Large deviations and portfolio optimization," Papers cond-mat/9802059, arXiv.org, revised Jun 1998.
- P. Gopikrishnan & M. Meyer & L.A.N. Amaral & H.E. Stanley, 1998. "Inverse cubic law for the distribution of stock price variations," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 3(2), pages 139-140, July.
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- Alessio Sancetta & Steve E. Satchell, 2007. "Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(3), pages 227-242.
- Alessio Sancetta, 2004.
"Copula Based Monte Carlo Integration in Financial Problems,"
wp04-02, Warwick Business School, Finance Group.
- Sancetta, A., 2005. "Copula Based Monte Carlo Integration in Financial Problems," Cambridge Working Papers in Economics 0506, Faculty of Economics, University of Cambridge.
- Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
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