Efficient portfolios and extreme risks: a Pareto-Dirichlet approach

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DOI10.1007/s10479-023-05507-yzbMath1546.91236MaRDI QIDQ6546994

Xia Xu, Olivier Le Courtois

Publication date: 30 May 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

Dirichlet distribution portfolio selection efficient portfolio extreme risk generalized Sharpe ratio

Mathematics Subject Classification ID

Portfolio theory (91G10)

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