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Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios

Ba Chu

Annals of Finance, 2012, vol. 8, issue 1, 97-122

Keywords: Diversification; Large deviations; Shortfall probabilities; Windfall probabilities; C60; C13; G11 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10436-011-0182-x

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