Portfolio diversification under local and moderate deviations from power laws (Q998273)

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Portfolio diversification under local and moderate deviations from power laws
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    Portfolio diversification under local and moderate deviations from power laws (English)
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    28 January 2009
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    heavy-tailed risks
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    nonlinear transformations
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    portfolios
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    diversification
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    riskiness
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    value at risk
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    risk bounds
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    Pareto-type distributions
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    power laws
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    local and moderate deviations
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    domain of attraction of stable distributions
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