Worst case portfolio vectors and diversification effects

Ludger Rüschendorf ()

Finance and Stochastics, 2012, vol. 16, issue 1, 155-175

Keywords: Dependent risks; Risk bounds; Diversification; Comonotone vectors; 60E15; 91B30; G32; C43 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s00780-010-0150-8

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