Dependence structure of risk factors and diversification effects
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More about this item
KeywordsAggregated risk; diversification effect; multivariate Extreme Value Theory;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-08-30 (All new papers)
- NEP-MIC-2009-08-30 (Microeconomics)
- NEP-RMG-2009-08-30 (Risk Management)
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