On asset allocation for a threshold model with dependent returns
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Publication:2304000
DOI10.1007/s13385-019-00210-4zbMath1433.91148OpenAlexW2956922197MaRDI QIDQ2304000
Ebrahim Amini-Seresht, Xiaohu Li, Yiying Zhang
Publication date: 6 March 2020
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-019-00210-4
Portfolio theory (91G10) Financial networks (including contagion, systemic risk, regulation) (91G45)
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