On optimal portfolio diversification with respect to extreme risks
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Publication:650773
DOI10.1007/s00780-010-0122-zzbMath1226.91069OpenAlexW2079791165MaRDI QIDQ650773
Georg Mainik, Ludger Rüschendorf
Publication date: 27 November 2011
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-010-0122-z
Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Portfolio theory (91G10)
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