A note on allocation of portfolio shares of random assets with Archimedean copula
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Publication:2449393
DOI10.1007/s10479-012-1137-yzbMath1291.91195OpenAlexW2073339390MaRDI QIDQ2449393
Publication date: 8 May 2014
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-012-1137-y
Inequalities; stochastic orderings (60E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)
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