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On Asymptotic Diversification Effects for Heavy-Tailed Risks
Company: University of Freiburg
Company Url: Click here to open
Year Of Publication: 2010
Month Of Publication: February
Pages: 169
Download Count: 4
View Count: 1466
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 11-21-2010
Publisher: Administrator
Summary
This thesis is dedicated to the diversi cation of extreme risks. In contrast to the Markowitz approach, the problem is reduced to the comparison and minimization of the extreme portfolio risks, while the consideration of average gains is omitted.
Author(s)
Mainik, Georg Sign in to follow this author
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