Portfolio diversification and value at risk under thick-tailedness†
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Publication:3645198
DOI10.1080/14697680802629384zbMath1176.91146OpenAlexW3121626358MaRDI QIDQ3645198
Publication date: 16 November 2009
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680802629384
diversificationvalue at riskportfoliosrisk boundscoherent measures of riskriskinessheavy-tailed risks
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