ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL

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Contributor : Stephan Clémençon <>
Submitted on : Tuesday, April 23, 2019 - 3:19:25 PM
Last modification on : Thursday, October 17, 2019 - 12:36:55 PM

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Stéphan Clémençon, Skander Slim. ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL. International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2007, 10 (03), pp.449-474. ⟨10.1142/S0219024907004275⟩. ⟨hal-02107138⟩

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