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Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence |
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| Authors: | Irène Gijbels Klaus Herrmann |
| Institution: | 1. Department of Mathematics and Leuven Statistics Research Centre (LStat), KU Leuven, Leuven, Belgium;2. Department of Mathematics and Statistics, Concordia University, Montréal, Québec, Canada |
| Abstract: | |
| Keywords: | Aggregation of risk capital allocation copula dependence portfolio selection Smolyak integration sums of random variables |