The use of Archimedean copulas to model portfolio allocations
Year of publication: |
2002
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Authors: | Hennessy, David A. ; Lapan, Harvey E. |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 12.2002, 2, p. 143-154
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Subject: | Portfolio-Management | Portfolio selection | Erwartungsnutzen | Expected utility | Risikoaversion | Risk aversion | Theorie | Theory | Multivariate Verteilung | Multivariate distribution |
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